Can't comment on Corralejo but in caleta there are no night clubs to speak of. however there are a number of bars open til the small hours, my favourite being the rock cafe in castillo plaza, theres also a couple in the next centre down form that and also peirro's in the white centre in caleta.
There used to be a few bars in the happy centre near the castillo suites but it is a while since i left fuerte and that was never the area of resort i went around in ( i lived close to pierros).
Caleta is only a short taxi/bus ride from the capital of the island and i had a few enjoyable nights up there. It is mainly the locals who go upto the capital but ask around and i'm sure the hotel/bar staff in resort would tell you the best places to go