Not sure what's open on a thursday night, but one of these might be
St Moritz (varies, but generally kinda nu-metally)
http://www.thisislondon.co.uk/listings/clubs/item?key=10027383
The Borderline (again varies - indie, metal, whatever)
http://www.thisislondon.co.uk/listings/clubs/item?key=10023614
http://www.borderline.co.uk/
Both are a short walk from the Astoria, but I dont think that they are open all night.
Other options are:
1) Eat a chinese - lots of restraunts in Chinatown are open thru the night - as is the Mcdonalds near Leicester square.
2) Easy Everything Internet Cafes -
www.easyeverything.com are open 24/7, for a few quid, you can stay somewhere warm. You might have a few tramps for company tho
There's also a rock club at the Arts Theater club on Frith Street, just close to Ronnie Scotts. Its in a basement, so its easy to walk past.
On the other side of Frith Street is 'Garlic and Shots' - London's most 'metal' resteraunt - everything on the menu comes with garlic and they play metal. There's also a 'Goth' bar in the cellar - but its only open until 1AM. Just down the street, there is Bar Italia, which is open all night serving coffee and Italian snacks.
hope that helps!
