Outside of the city center some time ago the City Council used to organize some spectacles in different parts of the city. You must pay, but not very much and they were quite good. Nowadays some private clubs do it and the concerts are quite expensive and not so good. Well, it depends.
There are free dances at different locations within the old part of town. Just outside the old part, at the Antoniutti Park there is always a very popular free dance with live groups at 24'00 too. The quality of the music varies with the artistes but there is always a good atmosphere. There are lots of small stands beside it where snacks and drinks can be bought all through the night. There are also other open-air dances at the Plaza de la Cruz (at 23'30), at the Paseo de Sarasate (at 20'30), at the Plaza de los Fueros (rock and D'j music) and at the Plaza Compañía (jazz).