I was born and raised in Winston-Salem, though I don't have any experience as an undergraduate or grad student there. Winston-Salem is actually a relatively large city, with a population of around 250,000. It does feel very "small town," though, and is both largely residential and pretty spread out. A car is more or less a necessity.
Most of the city's night life can be found downtown -- it's not a hotspot, by any means, but there are a number of upscale restaurants, bars, and art galleries there that make for nice diversions. Winston-Salem also has a nice arts and culture scene for a city of its size; it calls itself North Carolina's "City of the Arts," so there are generally a lot of free or cheap cultural events to look forward to. Winston-Salem has an opera, a symphony, an arts district, even the annual Riverrun film festival, so there are definitely some hidden gems. Minor league baseball and Wake Forest athletics are also traditionally very popular.
As for malls and markets, Winston-Salem has Hanes Mall, which has all of the standard department stores, as well as several other stretches of retail -- Thruway, on Knollwood, might be worth investigating. I believe there are one or two Asian markets in Winston-Salem -- there is one on Peter's Creek Parkway, if I recall correctly.
Probably the biggest asset at Winston-Salem's disposal is its history. The city is home to colonial sites Old Salem, Bethabra, and Bethesda as well as the Reynolda House Museum of American Art and the Southeastern Center for Contemporary Art (SECCA). Residential architecture in the Buena Vista neighborhood can also be quite impressive.
Winston-Salem is very centrally located -- both Raleigh/Chapel Hill/Durham and Charlotte are around an hour and a half away, and the mountains and the coast are both accessible by a few hours' drive. Greensboro, which is around twenty minutes away from Winston-Salem, might also be worth checking out on weekends. Charlotte and Raleigh are both worth visiting, as are Asheville, the Blue Ridge Mountains, and the Outer Banks. So while Winston-Salem is not a bustling metropolis by any stretch of the imagination, it is certainly close to plenty of interesting spots.
I can't speak much to graduate housing, but please feel free to reach out to me with any other questions!