The closing early, distance to places and the lack of people/walking area.
If the character is from a proper city, the closing early isn't just annoying, it's kind of endlessly irksome, especially when combined with the other two.
It's currently just past midnight and I could walk outside and within 1/4 mile in any direction I can find an open deli. drug store, food market, restaurant (various types, depending the direction, from sushi, Chinese or Italian or Mexican to basic diners), news stand, several bars of various types, coffee shops (the closest 24-hour Starbucks is farther but there's a 24-hour french cafe/bistro), laundromat, and other stuff I'm not thinking of I'm sure.
It's not just the late, late night stuff that's always there, but things like movies that in small towns have last showings much earlier than cities, and have far fewer movies available. Cities also tend to have multiple art film houses, indie movies shown, theatre, concerts (not just big arena ones), museums, galleries, etc., etc.
That the stuff is all fairly close and much of it walkable is also a big thing to city dwellers. It's an entirely different mindset and way of life kind of when you have to get into the car and drive even 5 miles to go to the market as opposed to just going down the street or just downstairs to the deli in basically your pjs because you feel like ice cream and have none.
Oh, also in towns you have to drag everything around yourself. In cities, people will bring things to you - dry cleaning, heavy groceries, liquor, breakfast, lunch or dinner, pretty much anything is up for delivery.
Also the lack of public transit and cabs, especially if out late or out someplace you'd want to drink.
Also also, as the bird said, the lack of anonymity.