In 1926 & 28, the largest quantities of drugs seized by US customs were, in descending order, opium, morphine, heroin and cocaine (heroin & cocaine equal in '28 at 13t).

Opium was still heavily associated with Chinese labourers, but use had spread to other races and classes. It never seems to have caught on in Western countries as a social drug. Morphine, heroin and cocaine were probably most commonly used by people who had developed an addiction following medical treatment - a large number of soldiers came out of WW1 with addictions to morphine. Cocaine was probably the most common 'party drug' among this selection, although morphine was used socially, in Britain at least, and could help with social anxiety and relaxation.

This period also saw the rise in popularity of marijuana, highlighted by the growth of a moral panic and laws against it. By the 1930s there were an estimated 500 'tea pads' in New York City.

Source: Richard Davenport-Hines, The Pursuit of Oblivion (2001)

It's not mentioned in my source, but I would point out that cigarettes and alcohol probably remained the most commonly used party/leisure drugs before, during and after the prohibition era.