Yeah - Oxygen is cool. And cheap too (or at least was last year - will let you know about this year next week) .
That's the right spot - or at least I think it is (could be the next street over - not sure). If you head all the way down Pirin St to the big square with the fountains in, turn right and it's just down one of the streets to the left. It's underground so you won't see a big bar or anything but there's a neon sign outside.
Never made it to oxygen last year but will try and give it a go next week I Rekon.Went to Amnesia 2-3 Times last year and that was allways really good if i remember corectly the best night to go was a monday was absolutely heaving with people.
Yeah Oxygen is great, we thought we were too old to go there but our instructor took us and the place was really friendly, cheap and great music, couldn't believe it was in Bansko! I thought it was down from gondola as you enter the big newish square on the left, sort or up a large step, just a doorway with a sign above it and two henchmen on the door. Ask the locals.