Excellent entertainment listings can be found in The New Yorker, New York, New York Press, the Village Voice, the Friday and Sunday editions of the New York Times, and—especially—Time Out New York, which includes hundreds upon hundreds of listings.
The Voice, Time Out, and Free Press do a very good job of covering downtown, while The New Yorker is the best source for capsule theater reviews.
The most complete daily movie schedules are published by the Daily News and New York Post.
For information on the volatile club scene, pick up Time Out, the Free Press, or the monthly Paper.