I'm not much of a clubber, but I know people from the military base here (arty, theatre people - I kid you not) go to Luxembourg City for the night life. I can speak a little for the town and country. Luxembourg City is one of the more dramatically located capitals in the world, certainly in Europe. The catacombs are interesting and there are some interesting historical sites as well as great restaurants. It's pretty expensive, what with all the EU politicians and their expense accounts.
Luxembourg itself has some beautiful areas, though some may be a bit difficult to get to without a vehicle. We mostly drive there, as it's about 45 minutes away. Clervaux has a wonderful castle, as does Bourscheid, both of which are relatively on the train route. (Probably you'd have a bit of a walk UP from the stations - this is hilly bordering on mountainous country). Diekirch is a pretty small town, with an interesting WWII history in the heart of the Ardennes. Vianden is beautiful too, though I don't think it's accessible by train. It is the historical home of the current Grand Duke, so there's a fair bit of national pride and history on display there. Great creperies, if you can get there, and Victor Hugo was exiled there for a while, so there's a bit of historical stuff there about him. To the west of Bourscheid is the Park Naturel de la Haute-Sure if you're into hiking a such, though again, accessibility is a bit tricky.
Hope you get to check it out, it's worth whatever time you can spend there.