I live in the residential no-mans land of Perry Vale - and use the facilities of both HOP & Brockley more than I do Forest Hill. Re your specific questions:
Gym - not too sure on that one. Nearest may be the Fitness First in Lewisham. Realistically if you move to Brockley you will never travel to Zone 3 again unless you work out of town - so unlikely to travel back to the FH gym - but would be easy to.
Comedy nights - being near Goldsmiths & New Cross, you will probably find more around that area than in FH. Amersham Arms is the most obvious
http://www.theamershamarms.com/#/gallery/4554331161
or New Cross Inn
http://www.newcrossinn.com/
Trains - as well as Brockley/NXG - you could travel in/out of New Cross - not so many ELL trains - but easier to get on and useful having more options into London Bridge.
Hope some of this helps - heartily recommend The Orchard as stated by someone else and Smile Thai is a BYO which is good after work.[/align]