For a bit more easy going feeling, Teatteri is a good choice. The downstairs is slightly chic, the music is not too loud and the overall athmosphere is a bit more private://glass of champagneprivate:// than private://pint of beerprivate://. The upstairs on the other hand is more of a regular nightclub. A good combination even for whole night.
By foot. The queues are not very long usually.
Free of charge. The cloakroom is some 3€.