Royal Holloway Nightlife Watch
In terms of off campus nights out, Windsor and Staines have a few places to go. London can be a good place to go, either as part of a society event or as a group of friends. The last train back from London to Egham is around midnight and the first one in the morning starts from about 6 or 7am, so some students might get a hotel/hostel, or get the underground to Heathrow and a taxi back from there (which works out cheaper and quicker than getting a taxi from central London).
However, I'd say that the majority of student nightlife takes place on or around campus at the Students' Union, Packhorse, or the Egham area and between the wider events and society social events there's always something to get involved with.
I hope that helps, but if you do have any more questions let me know!