It's a small town so don't expect anything spectacular but it can be fun sometimes at Charlie's Bar (inside little shopping center next to main red taxi terminal). Most people eventually gravitate to this place as the hours progress. Very casual dress, music varies, some good food options. It's small and sometimes can be quite hot so dress cool. BEWARE! After a certain point, the locals get restless and it's normal to see bar fights break out. Comes with the territory.
If you prefer a more mature environment with less people and more apt for conversation and food/drink, then head to Nazca. It's located north of the center of town, along the main road out about 1 kilometer north of the Castellana Bakery (regularly used as a main landmark).
Dress Code: For tourists, you can pretty much get away with anything.
It gets really cold at night. I guess if you're from Siberia you won't notice, but, for us it was cold. Couple that with the aforementioned "nothing to do" and sleeping is the most obvious option (well, maybe second most). Lots of blankets and you'll need that electric heater too.
Dress Code: Blankets