In the town itself best places for a beer after a day on the slopes are the Sina Pub, 2-4-1 beers till 6 every evening, and crystal bar on the main street, both normally fairly lively.
There loads of restaurants/bars on the mountain itself. As mentioned the restaurant at Brandegg is really good, Apple fritters are a favourite post skiing treat there. Also recommend eating at the restaurant at the station at Kleine Sheidegg, if its clear you get incredible views and the food is great. Its also near the Tipi Bar (its the big tipi tent) which is good when the weather sets in.
Ive skiied the Lauberhorn world cup run. Its not overly challenging for a world cup run but the faster you go that hairier it gets! I took part in a race over in Murren (the other side of Lauterbrunnen from Wengen) but there is some good skiing and snow over there and the top of the Schilthorn is good for a stop. Its famous from James Bonds “On her majestys secret service” so worth a look.