Students usually go to Northgate on the weekend. It's a small strip of bars, right across from campus. There are also movies, very popular. (With your student ID they are 3.50), going out to eat, playing ultimate frisbee....not much. Most people travel to Austin or Houston to do things, unless you just mean partying. That can do done in College Station!
It is VERY conservative. Though it is a public institution, I don't think going to a Christian school would be that different. But as a graduate student you probably won't run into this as much. Just this week, a student wrote into the paper about how offended he was that it was printing articles promoting homosexuality as a lifestyle and that he chose A&M for its Christian environment. But like I said, I think this pertains mostly to undergraduates. Most of the professors/graduate students are VERY liberal. It's the students who are living in their bubbles. I've LOVED it here, but four years is more than enough, I'm ready to leave the bubble.