We all question if we have fully lived our lives especially as we grow older. Even the ones who are drinking and clubbing and screwing around ask themselves the same question, and WILL be asking the same question at 50, maybe even at 30. We all go through it. I wonder that too sometimes and just like you I'm fairly conservative. Alcohol is a depressant, it makes you feel good only temporarily and comes with way too many disadvantages. So, you're not missing out on anything there. As far as clubbing is concerned, from what I've heard (even from American non-Muslims) is that it's the worst place to find a potential partner. And the impression that I get from my American friends is that they find the whole dating/having sex process exhausting and depressing because they'd much rather be with a guy who is serious about committing as opposed to the guy who puts up a charming front only to get laid and then disappears without even a phone call.
Make a list of all the things you have wanted to try and then set a time frame for accomplishing them. It could be as simple as wanting to try sushi and cooking a new recipe and working on a craft or getting a makeover.....to.....traveling and bungy jumping....or to.... getting your own book published. A desi friend of mine went sky-diving, which is something I'd like to try one day. You could also do volunteer work, which is recommended as one of the best ways to bring yourself out of the dumps. You could read to kids at a hospital, for example. You could even come up with another thread that'll get people as involved as the last one.
You seem to have a way with words and your writing is humorous. I could see you write a book similar to Bridget Jones' Diary or Shopoholic:)
You're on the right track. This is only temporary, u'll be okay:)