As Burundi is still struggling to come to terms with itself, the country is awash with poverty and illegal arms, a dangerous combination. Everywhere in town, armed robberies are happening, very often with victims. This does not only happen in the poorer more poplar neighbourhoods and at night, but also downtown in broad daylight.
Some advise: always be careful and maybe avoid not so crowded bars or places.
Bujumbura is a wonderful place to live, people like nightlife, but officially there's a curfew after midnight! If you stay downtown, you can get away with it, but because of this most clubs and bars close at 11pm or otherwise keep going until the early morning.
Police has checkpoints ooutside of downtown. A small bribe can let you pass but it's anyway not a very good idea to be out of town too late after dark.