I think when he is asking about "clubs" he means the FF programs in general and doesn't know that every airline has them.
Malibu, Tell everyone where you are planning on flying and you may get some suggestions on the best airline to fly to that destination. Every airline has a frequent flyer program where you can earn free flights by flying. Most have other programs that allow you to earn miles for purchasing certain items or by getting a credit card, etc. The freefrequentfliermiles.com link above is excellent information. Not all frequent flier programs are created equal, so do a little research on here.
One thing to consider is that it may be nice to fly an airline that flies non-stop to your destination, but you may earn more miles by flying with a connection to earn free flights faster. All depends on how much your time is worth, etc.
Good Luck