The cinema complexes are lively till late in the night viz.
'Priya' at Vasant Vihar, and
'Anupam' at Saket (pron. 'SAAKETH')
...both in South Delhi. They have food joints, coffee shops, shopping, an odd pub etc. I would rate Anupam above Priya.
...There is also a very large Mall (near Max Healthcare Superspeciality Hospital) in Saket, about 3 km from Anupam.
Ask your hotel for a dedicated taxi to ferry you too and fro.
Have fun,
JG