Hmm... Regarding clubs and bars, you should try Psirri. It's in downtown Athens, no cars usually on the street (or very few) and it's literally crowded with good rock clubs and bars. You can find more information here: [psirri.gr
Now, vinyl and CD shops... Don't forget to visit (properly named) Rock and Roll Cirus on Sina 21 Athens. Its owner is a huge Stones fan so I think you'll enjoy the shop. A visit to Monastiraki is of course pretty much mandatory too... Lots of vinyl shops with old stuff, even some rare items.