Observant Mormons don't drink alcoholic beverages, and state laws make purchasing alcohol relatively awkward. If going out for drinks and nightclubbing is part of your idea of entertainment, you'll find that only Salt Lake City , Park City , and Moab  offer much in the way of clubs and nightspots. Most towns have a liquor store; outside of the Wasatch Front and Moab, don't expect casual restaurants to have liquor licenses.
Smoking is taboo for observant Mormons, and, as in many states, an Indoor Clean Air Act prohibits smoking in all public places (excluding taverns and private clubs). You're also not allowed to smoke on church grounds.
If you've never traveled in Utah before, you may find that Utah residents don't initially seem as welcoming and outgoing as people in other Western states. In many smaller towns, visitors from outside the community are a relatively new phenomenon, and not everyone in the state is anxious to have their towns turned into tourist or recreational meccas. The Mormons are very family- and community-oriented, and if certain individuals initially seem insular and uninterested in travelers, don't take it as unfriendliness.
Mormons are also very orderly and socially conservative people. Brash displays of rudeness or use of foul language in public will not make you popular.