Like many other cities in Mississippi, Vicksburg derives a substantial portion of its income from casino gambling. A number of casinos can be found in the area, including the Ameristar Casino, which hosts various concerts and gambling-related events.  Their website is at http://www.ameristar.com/corp/index.asp  . Other well known casinos include the Isle of Capri and the Rainbow Casino.  Most of the casinos will offer one and usually more restaurants serving a variety of specialties.
     If you're not into gambling or casinos, there are some sports bars in town, and plenty of places to enjoy the cuisine of the Deep South and even some specialties from neighboring Louisiana.  This is not a big town for flashy clubs and bars, four-star restaurants, and the like.  Try the Cedar Grove Mansion Inn and Restaurant for a memorable upscale southern dining experience.  http://www.cedargroveinn.com/   The Walnut Hills Round Table restaurant is also popular for Southern specialties.
Another thing about Vicksburg is that is just south of the region of Mississippi considered to be "The Birthplace of the Blues."  With that in mind, there will be some opportunities to catch live blues music, with the Bottleneck Blues Bar at the Ameristar Casino perhaps the most prominent venue in town, and also possibly Highway 61 at the Rainbow Casino.  Other surrounding cities will offer their own blues venues as well, particularly as you make your way up north towards Clarksdale.