Well, now, that would all depend on where you're going.
I went to a great industrial/darkwave/goth night at Madame Jojo's in London's Soho area - I believe it was a sunday night. London also has some good rivethead nights in the Camden area. Check out the stores and stalls around Camden Market for flyers.
I remember Korsakoff in Amsterdam being recommended to me, but I never made it there.. might be worth checking out.