i've lived in milwaukee for about three years now, and i love it. in fact, i'm really depressed about the fact that i will have to leave soon (going for phd elswhere).
milwaukee is a great city. in my opinion, the winters are pretty mild. i grew up in a town where we get at least three times as much snow as we do here, so take the opinion with a grain of salt. it can get cold, but having the lake nearby keeps it slightly warmer in the winter (and slightly cooler in the summer). there are a lot of outdoorsy things to do around the city and surrounding areas in all seasons (skiing, biking, etc.). there are TONS of festivals all the time in the summer. it's a fun and laid back city.
i live in riverwest which is made of up the areas around humboldt blvd west to about holton st or so (bordered on the north by capitol and the south by north ave, although those are kind of "loose" borders). i would highly recommend this part of the city. it's diverse, has cheaper rents than the eastside (by the university), better parking, very community-oriented, lots of funky cafe's and bars. some would describe it as the sort of "counterculture" area. there are a fair amount of students there but lots of families too. others have made a go of living near campus and in shorewood (north of campus). rents will be more expensive there, maybe harder to find parking, but some people will tell you it's safer there. i've never felt threatened in my part of town, but if you're able to visit, you can check out areas for yourself. rents in riverwest for a one bedroom will probably typically be around $500 or so. i pay $560. it's a big apartment, heat is included, no extra fee for my dog, and i have a small yard. on the eastside a one bedroom is maybe closer to $700? i dunno, that might be a slightly high estimate, but if you check out craigslist or the neighborhood housing on the uwm website you can get a good idea of it. keep in mind that a lot of "apartments" in milwaukee are in older buildings that were divided into flats. there are some newer complexes, but the older ones i've seen are all fine. plus they have *charm.*
parking on campus can be a nightmare, so a lot of people either ride their bike, walk, or bus to school. the buses are pretty good, at least around campus and surrounding areas. i haven't used it much elsewhere in the city. and as a student you get a free bus pass, so that's pretty great.
as for music, there are a lot of small venues in town where local acts will play, and some bigger names play downtown (pabst, riverside, turner hall...all very cool, old buildings by the way). you will find that a lot of bands will bypass milwaukee in favor of chicago, but it's pretty easy to get down there too. and beer is a way of life here. plenty to be had, especially from local breweries (btw, i highly recommend the lakefront brewery tour, it's the best by far...and they have a fish fry too. a wisconsin fish fry is truly a sight to behold).
i'll be honest, i hated mke when i first moved here, but then something clicked and i don't want to leave. i will probably do my best to move back here when i'm done with school for good. it's a really awesome city and the people are really friendly. one thing i will tell you is to just pay fairly close attention to what's going on with the budget bill. as a grad student (and a ta, i'm assuming?), you might be affected by it (ta's here are union). i haven't really heard much about how future grad students will be affected after this semester, but it's worth looking into, if nothing else. i'm told that tuition remission will not be taken away from ta's though.
good luck!