Lots of different directions to go here.

Milford, definitely great has a lot to do and great spots to go out and have some drinks/food...but if you are looking to walk from spot to spot, not so much.

Hamden, has some good spots but they are few and far between (just my opinion). Outside of Mikro I don't find myself going out in Hamden all that often... most of the bars are overrun with Quinnipiac students. Side Street and Aunt Chiladas are great for people in the mid to early 20's but you may feel out of place in your 30's.

Shelton, similar to Milford has some good spots but I don't think you'll find yourself walking from spot to spot. Probably expect to see a slightly older more "local" crowd at the bars. Honestly not super familiar with Shelton, only places I have been are Spotted Horse and Crave.

I'm sure as you know the closer you get to NW CT the "quieter" it is going to get...

As others have mentioned I think a spot like Westville or East Rock would be great especially if you are renting initially.