oh boy... i have yet to experience this whole "clubbing" idea. I'll admit I have been to a club, but i just kinda sat there. I didn't know what I was supposed to do. I sure as hell wasn't going to dance. That's scary.
I know friends who go sometimes, and they have a lot of fun. They always recommend going with a group of friends so that if weird guys start coming up behind them, they have someone to butt in and take you away... something like that.
My only advice really is to not be scared to dance. I definitely wasted $10.