It depends how you define things. I'm from Shropshire, which is hardly known for its happening club life, so I may not be best qualified to comment, as my views are probably not what yours would be.
The college bars are mostly good - cheap and sociable, although they vary between colleges. Ents at different colleges are known to be better than others, but you can go to other colleges' ones if you like. Clare cellars has a fairly decent mix of different music each weekend. As for clubs, I haven't been out to them too much, but they are generally a bit cheesy (especially Cindy's on Tuesday nights, but people still flock there). You'll probably think they're crap, but I think they're ok, and not as expensive as London ones.
It honestly isn't all work and no play; you do have to work hard, but people manage to fit in a social life as well, even if it is somewhat different from other places.