I live about 30 minutes away and have been going there pretty frequently for the past 20 years of my life. New York State Museum is great. There’s a lot of really good pizza places, and Madison/Quail is full of college kids and frat parties. There’s a show at Valentine’s practically every night. There used to be a lot of cool venues but they all closed down.
Albany is basically awesome when you think about it, a lot of people don’t give it the credit it deserves.