In Stockholm, capital of Sweden, you can actually do stuff... wow.

Clubs:

Saturdays, there's Eclipse at Grottan. 21-02. They play the same stuff over and over again, but at least it's goth and industrial. It costs 30KR to get in, unless you arrive before 22, when it's free.
Address: Folkungagatan 68, 116 22 Stockholm
Phone: 08-6406688

Record stores:

Little Shop of Records probably has the best used goth stuff, not many cds, but a shitload of vinyl. A very nice owner, too. :)
Address: Bondegatan 7, 116 23 Stockholm
Phone: 08-6437755

Frizzle Records have a lot of music that's hard to find (in Sweden, anyway). Current 93 and the like. They also special import stuff for you if you ask nicely. :) Most their cds are new, tho' they have a used section too, but interesting stuff seldom winds up there.
Address: Lilla Nygatan 9, 111 28 Stockholm
Phone: 08-104878

There are lots and lots of second-hand record stores around S:t Eriksplan (there's a subway station there). Many of them are worth checking out.

Clothing:

Bluefox has a lot of leather imitation clothing, crushed velvet, plastic, fishnet, bondage pants, and the like. Also jewelry (most is from Alchemy Gothic), makeup (much of it is Stargazer) and other miscellaneous weird stuff. They also do piercings and tattoos (quite professionally, as far as I know).
Address: Gamla Brogatan 27, 111 20 Stockholm
Phone: 08-203201

Galaxy is a very small store shock-full of silver jewelry. It's expensive, but damn cool.
Address S:t Eriksgatan 48, Box 49009, 100 28 Stockholm
Phone: 08-6502590

UFF has a bunch of shops around in Stockholm full of cheap, crappy, used clothes. If you search a lot you might find something interesting, tho'.

Miscellaneous:

Forbidden has a lot of very weird and original sculptures, artwork and the like. They also do paintings on leather, and sell some home-made t-shirts.
Address: Kocksgatan 56, 116 29 Stockholm
Phone: 08-6423131