The Blue Lezard has some good bands on sometimes, Wednesdays is the main evening I think but there may be more. It's free too...
Otherwise there is Les Docks in the Flon area, which has a large number of concerts from rock, blues...all sorts really. The listing can be found here:
http://www.lesdocks.ch/concerts/
I've been to a few gigs there, and it's a nice new place, with a good atmosphere. A couple of things I might go to in October actually...thanks for reminding me!!
Tacos is also in the flon area. That has pool tables and often live music but it is mainly rock n roll, rock-a-billy and some blues by the look. Not been there for the music to be honest. Website and listing here:
http://www.tacos-bar.ch/
For a younger crowd and pretty much only rock/metal there Le Romandie near the cathedral area. Pretty specific taste this one but it is very cheap as it is some sort of local collective place.
http://www.leromandie.ch/
For generally finding concerts, in Lausanne and further out, this website is quite good. Allows you to search by area, or genre:
http://tickets.petzi.ch/index.php
Have fun!!