For graduates: You may have a welcome programme organised by your college, department or both. These can vary widely, but will often include pub crawls and collaborations with other colleges. Your college and department should email you their arrangements for freshers, or you can contact your common room committee (usually listed on your MCR’s website).
In Oxford, there are several clubs, and themed nights change year to year. The most popular nights to go out are during the week, but when, where and how often is entirely up to you!
And on weekends there are BOPs… and lots of them. A BOP is a party run by your common room (both undergraduate and graduate), usually on college premises. Each BOP is set up differently, but often you can invite guests from other colleges, and many have a dress up challenges and student DJs. (Remember that banana onesie…)