For all in one, Lagos would probably be your best bet given your parameters. But then I live here! :))))))))
We have beaches, (including the 4km long sandy Meia Praia beach) restaurants, bars/clubs, and shopping and in summer, a great night life..
Cubsur will probably be along, shortly, and confirm that he would say the same thing about Albufeira. There is possibly a chance of more shopping therapy opportunities in and around Albufeira though.
DiskWizz, if he's around, will probably say the same about Praia da Rocha.
Another destination to look into is Alvor.
It's all a matter of personal choice really, as all the above destinations meet your criteria.
