In order to stay up all night, i drink a lot of ice'd coffee. I recently found this brand of coffee and it really hits the spot.
Combine that and some Borderlands, Doom, Pokemon, and whatever games there is in my Steam Library and 3DS.
Heck, just thinking about it.. I'm going to the store to buy some right now. I need to stay up all night in order to review and prepare for our thesis presentation tomorrow, and I've gotten a lot of good afternoon naps, so I can afford an all nighter tonight.
Lack of sleep can be a lil dangerous for me since I'm the kind of person who can get easily upset and tilted if I wake up in the wrong side of the bed.
And after we finish up our thesis defense, I'll be pulling even more Allnighters since the new DOOM game just came out, and I was fortunate enough to get my own copy since i had to go Knee deep in salty customers to get my last copy from the store's branch.
As far as pulling all nighters go, they usually involve something like me reviewing super hard for an important academic requirement or me wanting to play a game all night after I've done my night's worth of exercise.