Yeah, I find it really good! Our union is fab, there are 4 main nights:
Mon= Fun Factory- free!! Plays indie/ rock/ alternative.
Weds = rubber duck. Pop & cheese. This is when all the AU clubs turn out.
Fri = Access all areas- bit of a random mix, but lots of chart indie type stuff I guess.
Sat= Come Play- Again a mix, but there's usually something for everyone.
Drinks at the union are cheap, and there's always a good atmosphere, its really good!
In town there are several places, Walkabout, Liquid, Tiger Tiger, The Welsh Club, Metros, Barfly, and Creation (soon to be Oceana I understand!). So whatever your taste in music there is something for you.
Plus entry and drinks here seem to definitely be on the cheap side, I rarely spend over £20 on a night out.