I've spent a lot of time up in Cold Lake for short periods of TD (from a couple days to a few months at a stretch).. These were between '99 and '04, so what I remember may be different now.
Nightlife was decent, although the bars tended to go up and down in popularity. You just need to find the one (or ones) that are hot at the time you're there. Car is very important, because, as was mentioned, it is not cheap to take cabs all the time to and from downtown. If you make some friends though you'll be sure to find some people to split the fare with. It also gives you a chance to check out stuff in and around the town (I brought my mountain bike and had some fun, but listen for the quads and the occasional bear). The golf club was nice enough, but I'm no connoisseur. Junior ranks was also pretty nice, right by the transient quarters. Good place to go play a game of pool or darts.
Mess food was really good, and they had (this may have changed) a nice a la carte menu. Most of the guys I knew were Pte/Cpl types with single rooms, typical military base fare. The transient quarters (Maple Flag Inn) are fantastic though, with your own phone line (base local, need a phone card for LD or you can call other bases for an outside line), tv with cable, bar fridge, and maid service. You have a sink in the room, and share a toilet and shower/bath (depending on the room) with the room next to you. Unless Maple Flag was on it was rare to actually have someone in the room next door though.