Across the A-104 from Nyayo Stadium you'll find Baricho Road - a busy, down to earth street that caters to the capital's working/business class and, depending on the night, houses some of Nairobi's most popular entertainment venues. Most of these places (Choices, Click, etc.) double as restaurants during the day and evening hours, so if you're looking to combine a meal with a party Baricho's got you covered. Otherwise, come Monday and Wednesday nights (oddly enough), this is one of the city's prime nightlife hot spots for dancing and live music, with reggae, rock and hip hop topping the list of genres you're most likely to hear.
Note:For the record, it's worth checking out Baricho on other nights of the week as well.