Sturgeon Bay [1] is not a happening place when the sun goes down, to be sure, but there are options. The Third Avenue Playhouse (239 N. 3rd Ave., 920/743-1760, www.thirdavenueplayhouse.com [2]) has a year-round slate of theatrical and musical performances in a renovated movie house.
One consistent place for catching live music is GLAS, the Green Coffeehouse (67 E. Maple St., 920/743-5575), with live music regularly but not on a set schedule. Oh, and in addition to good coffee and a lovely vista of Sturgeon Bay waters, it’s got menu items as well. (The name, by the way, is Gaelic for “green”—yes, they get asked a lot.)
Up the road a piece, Roadhouse (5790 WI 42, 920/743-4966, Tues.–Sun.) in Carlsville, about eight miles north of Sturgeon Bay, has food, yeah, but it has often offered live blues performances Saturday nights July–October, though not last time we passed through town.
Links:
[1] http://www.moon.com/destinations/wisconsin/door-county/sturgeon-bay
[2] http://www.thirdavenueplayhouse.com