I studied abroad in Berlin several years ago... it's a wild place.
Now Luxembourg? Luxembourg is somewhere you go for the weekend, but wouldn't actually live there (if you live somewhere in Germany, France, surrounding area). It's really really expensive and is a tiny though densely populated country.
If you want to meet new people and just have more fun, go to Berlin (western Berlin... there's still a noticeable difference). Berlin is also one of the cheapest cities in Germany.
If I personally had to choose a Western European city to live in, it would have to be Vienna, Austria. It's the most beautiful city and the women are gorgeous.