I lived in Palo Alto for a couple of years, and basically just didn't go out (weekend or otherwise) after 8pm unless one of my friends with a car wanted to drive to San Francisco for the night. Caltrain is fine during the day on weekends (e.g., for shopping and dinner outings) but shuts down far too early to really do bars/clubs/concerts in the city and still get home. (BART has similar issues, if you're trying to get in and out of east bay.)

The upside is that the city is only 40 minutes away; the downside is that SF tends to be kind of a black hole for culture, sucking everything cool into the city limits and leaving the south bay with all the strip malls, supermarkets, and car dealerships.

If you're going to school or working a startup, it can be survivable. There are enough coffee shops, cafes, and restaurants around downtown Palo Alto to let you pass a lazy Sunday afternoon pleasantly enough, and the occasional trip to SF by car (or by train, with a hotel stay in the middle) helps to alleviate the boredom.