At Psathi and Chora you can find a few, quiet bars. Quite often, locals organize festivals withsinging and dancing and you are more than welcome to join.
Most bars and clubs are located at Adamas and Plaka. Due to the fact that Milos is so popular among the Greek tourists, most bars and clubs play mostly Greek music.
Plaka is the capital of the island and one of the most beautiful places to enjoy the sunset, particularly at Panagia Korfiatissa, which is also the cathedral of the island, or at the castle. Don’t think that in Greece there is only Santorini!
You can enjoy the sunset while drinking an aperitif, but if you want to find a good place for doing so, you must be there a little earlier.
If you wish to have more lively experiences, at Adamas there are the “staircases” with some bars where young people hang out. Of course the place is not exactly like Mykonos or Paros but you will definitely meet some nice people.
If there is a festival you should absolutely join it.You will dance and you will taste the most exquisite food.
And even if you do all these, you must know that there is still a lot more awaiting for you. You will want to visit the island again and you will not stop thinking about it.