If you're looking for something calm, you could go for some late night cycling in CP by renting cycles via smart bikes or the yulu bikes. You can use the same and go to India gate and have an icecream. You can also drop by Bangla Sahib for a peaceful retreat from the chaos of the city.
On the other hand, if you are looking for a crazy night-out..I would suggest Hauz Khas village for it. If you are looking a bit beyond delhi, then i would suggest going to Gurgaon. It has a better nightlife.