Given that Davos is a thriving mountain town rather than a small ski resort there is always loads going on. As with any town centre there is a good spread of bars but the fact that Davos has a classy Casino, decent sized cinema, a theatre and that it regularly hold large concerts should give you an idea of how it varies from your average ski resort. The tourist board like to tout it as the 'party town of the Alps' (although I am sure that there are many other tourist boards who would say the same thing about their resorts).
The après ski in Davos normally starts on the mountain in the numerous ski bars with their sun terraces and then spreads down to Bolgen Plaza at the foot of Jakobhorn. Just a minutes walk away from here you will find the internationally renowned Bolgenschanze where they regularly have live music and often internationally renowned DJ's. However, if you are not skiing in Jakoshorn are are on the other side skiing in Parsenn instead, then there are plenty of après ski venues around the valley station yeah you can start your evening and then move further on into town. The Ex-Bar is the place to go of you want to keep the party going through until 5am. It has a bit of a legendary status in Davos and both holiday makers and locals alike love it
On top of the nightlife there is loads of other fun stuff to do in Davos as well. They have a very successful Ice Hockey team which you can get tickets for from Dec - March and Davos also hold a Snow Polo tournament which normally takes place in the middle of January. On top of that there is plenty of winter walking to be found as well as ice skating and curling. For those who are not satisfied with the thrills offered by skiing and snowboarding you can also try your hand at tobogganing. Davos is the grand father of tobogganing and the first ever toboggan race was held there in 1883. In total there are 9 different toboggan runs to try!