I usually reserve conferences for weekday evenings if at all possible; it makes me feel less guilty if I end up drinking during the week at a conference than at a party or a bar.
Friday nights, we usually have band practice or a show somewhere, followed by drinking and hanging out with fans and friends. Saturday nights are usually filled with more partying or taking my girlfriend on a date.
I've spent many many weekends over the past few years working straight through on my startup, but since we've started to turn the corner of profitability, I've stopped doing that.