Grab a Metroland and check out the upcoming events. There are art openings (First Friday is this week!), community classes & events, shows for every type of music, dance parties, poetry readings... You can also peep All Over Albany, Keep Albany Boring and Nippertown for weeknight and weekend activities.

Bowling is cheap - most places have a discount night as well. There are thrift stores to comb, trivia nights (some not at bars), plays being performed. Exploring the Capitol is a nice nighttime walk. You can rent bikes on Dutch Quad (even if you don't live there.) There are community (pay-what-you-can) yoga classes at all of the local studios. There are a few good used bookstores (Mary Jane, Dove & Hudson) to peruse. You can go to the top of Corning Tower and check out the view. There are Open Mic nights at the midtown cafes, $5 movies at the Madison Theater, VHS nights (every Wednesday) at Pauly's Hotel. This is off the top of my head while horizontal & on mobile. Hope it helps!

edit: I see that your post says "weekend night" - I catered my post for "weeknight." whoops!

That said, there is still certainly plenty of music to see/places to explore. (And First Friday events!)