If you are into cigars you might want to visit the 'Havana Lounge'. It's in the Hotel Sofitel located on the Kirchberg Plateau in the financial district of Luxembourg. It's designed in a Cuban 1950's style with leather armchairs etc. and a big humidor built into the wall with a good range of cigars. I spend a lot of time there :-) There is an Irish pub called The Oscar Wilde situated in the Grund that is not that well known to tourists but is always busy and very friendly. A couple of sites you could check out that are in English are
http://www.station.lu/ and
http://www.352.lu/ - they can tell you what's on when you are there.