Lagos is a town of about 30,000 whose night is a few compact streets in the old walled centre, packed from June to September and half-shuttered the rest of the year.
Rua Cândido dos Reis and Rua 25 de Abril
The two pedestrian streets inside the old walls hold almost all of Lagos's bars, one after another over about 300 metres, so people drift between them rather than picking one. Busiest from late June to early September; several places shut entirely in winter.
Praça Gil Eanes and the surrounding squares
The wide square with the Sebastião statue and the smaller squares off it are where the evening starts: outdoor tables, a slower crowd, food before the bar streets fill. A five-minute walk from anywhere in the old town.
Marina de Lagos
Across the Bensafrim footbridge from the old town, the marina's bars and restaurants face the water and stay calmer and older-skewing than the Cândido dos Reis strip. Useful if you want a drink and a conversation rather than a sound system.
Meia Praia beach bars
The long sand strip east of the marina has seasonal beach bars that run from afternoon into the evening. They are summer-only structures, so in the shoulder season expect the beach to be empty by dusk.
Season is the whole story
Outside roughly May to October a large share of Lagos's bars close or cut to weekends only, and the town reverts to its resident population. If nightlife is why you are coming, come in summer; if you want the town quiet, come in February and accept three or four places open.