San Sebastian/Bilbao are cool places to stay. I currently live really close.
It's the most expensive area in Spain, but way cheaper than most other european big cities.
You have a lot of skateparks around, and a big surf scene. Lot of beaches.
The only bad point could be the weather, sometimes it rains for 4 weeks straight. Other than that, it's quite dynamic from a cultural point of view. San Sebastian is 45 min from Biarritz, France, 3h from Bordeaux or Madrid, 6-7 (in train) from Paris or Barcelona.
Partying in San Sebastian is not the best but it's cool. You have Dabadaba and el Bukowski who have good programmations. Bataplan is a disco on the beach.
You have three main skateshops in San Sebastian: Flow, Skateshop, and LaPlaza.
I think it's a nice place to finish your studies.