As far as clubs go:
Clubstereo:
http://www.clubstereo.com - Montreal's home of house. very chick, glam mostly gay crowd. Easily one the the best vibes in the city for a club that large. Geared towards the older demographic(25-30). Residents include:
Angel Moraes
David Morales
Mark Anthony
Aria: http:www.arianightclub.com - Canada's newest afterhours club with a capacity of 3000 in two large rooms. Wide array of music every friday and sat. Styles range from Disco, House, Trance, Techno & Hip Hop.
Residents include:
Fred Everything
Mateo Murphy
Luc Raymond
Fred Everything.
Christian Provonost
Here's another helpful link that will give more info:
http://www.cs.mcgill.ca/~rrause/clubs/clubs.html
As far as vinyl is concerned, ask Alex D. cause I know that he comes here once and a while to pick up some for himself.