I used to get really confused about this too. I always liked going out (not everynight, but on occasion). I didn't drink, or do anything crazy, like leave with a strange man and do crazy things. However, when I got to college my freshman year, one of the girls I met said you can't be a Christian and go to the club. She also said women are not called to preach/Pastor churches (which I don't agree with), but that they can be ministers.
This is where I am on that now. I believe that Jesus could go anywhere, and remain Jesus. I believe that if Jesus were walking the Earth right now, he could walk into a club in NYC, Miami, DC, or LA, and communicate with the people without sinning. I even believe He could walk into a gay bar, communicate with the people, and not sin. The reason I believe this is because I know that Jesus loves people, just not always all of our ways.
There are people who never set foot in a club, never dance, and never party, but they sin against God everyday. They lust after people, they are drunkards, they hate their brothers, they are selfish, they watch porn (think Kirk Franklin). Therefore, I do on occasion go to clubs with people. Not often, but I feel strong enough in my walk with Christ that I can socialize in secular settings, without "losing" my Christianity. People respect me when I don't choose to drink (on occasion, I do drink, but not everytime I go out). People respect the fact that I don't do drugs, never have, and never will, and people respect the fact that I'm not going to be dancing all over the floor. Some of my friends do this, but they respect the fact that I don't; and I respect the fact that they do participate in this.
I think it's important as a Christian to understand that you can show people Jesus' love in any setting.
Sorry post was so long!