For Sightseeing, I recommend Amalienborg Palace, Nyhavn, Christiania and Strøget. If you are at Amalienborg at 12 noon, there's the Guard change parade every day.
When it comes to clubs, I don't really know many in Copenhagen. I feel like Roskilde is kind of the club center of Sjælland, but my friends tell me that the club ARCH is pretty good and affordable.