I live in Albany, so I can probably help you out a bit. Jiminy Peak in Mass is pretty close to Albany, about 45 mins. Its a small mountain but its fun for what it is. They have night skiing/boarding so I usually go there during the week after work. I believe Tuesday is NY night and people with a NY drivers license get a discount. I also go to Windham and Gore occasionally. Usually I try to get up to Vermont though. IMO, the Vermont mountains are better and are worth the drive, which isnt too far at all.
As for night life in Albany, it really depends on what kind of atmosphere you are looking for. There are a bunch of bars around with a little bit of something for everyone. Lark street has some good bars, Wolffs Biergarten on broadway is a good one too.