North Carolina is gorgeous. As for the weather, certainly depends what you like. The winters in Pennsylvania get REALLY cold, and I think the summers are pretty mild. NC winters are mild - doesn't usually get much below freezing, and even then, it's only Dec/Jan. I sunbathed at my pool until a few weeks before Halloween. On the other hand, the summers are HOT (often 25-30+ degrees Celsius) and very humid. Depends on what you like - since I'm from canada, all of the Grad schools I applied to were in the Southern US to avoid the snow....

As for nightlife, here in Raleigh is decent. It's not NY or something, but there is always somewhere to go and lots of great little pubs and funky coffeeshops. Couple of nice dance clubs too. I agree that looking for somewhere you'll be comfortable is important, and if that includes nightlife then by all means include it in your criteria. Lots of people take the attitude that "During grad school, you'll be in the lab or studying 24 hours a day, so the location doesn't matter". I tend to disagree with that....it's Grad school, you'll *need* to blow off steam sometimes. Towns that exist almost solely to support the university, (ie, West Lafayette, Indiana, where Purdue is located), generally don't have a lot going on. Sure, there will be a ton of student bars and stuff, but if you want to go out for good sushi or a nice martini lounge or something, you might not have a lot of options.
One other VERRRRRY important thing to consider is whether or not you'll want to own a car, and if not, what the public transportation is like. In raleigh, there's a pretty extensive bus system for the university and the small surrounding area, but if you choose to live a bit further from campus you absolutely need a car. Don't just assume that big cities have good transit, definitely look it up.
Are you planning on taking a research-based or class-based masters program? If research based, definitely look at the individual professors in the department and think about who you might want to work with based on their research. Getting into a great school like UPenn is wasted if you can't find a faculty member you're intersted in working with. As for the choosing a research advisor, that's a whole topic unto itself...
feel free to continue asking questions!! That's what this is here for!