If you have a family with kids then some of the clubs provide a very good set of facilities (swimming, tennis, squash, gym, snooker, bowling, etc.) which are very attractive so long as you live fairly close and get good use out of them. Examples would be the HK Cricket Club or the HK Football Club (you don't need to play or even be interested in either cricket or football (soccer) to join, although it is cheaper if you join as a playing member).
However, if you are young and single then there is a very lively, loud and (frankly) expensive bar scene around Lan Kwai Fung and Wanchai for which no memberships are required (except to whichever is the trendy nightclub of the month).
There are also the business-focussed clubs such as the Hong Kong Club, and the China Club which attract Lawyers, Accountants and top businessmen, but which are very expensive try to keep their membership exclusive.
I believe there is also a very active Freemasonary scene in HK.
Personally, as a 40 year old with no kids I find the FCC is a good compromise - I don't need the facilities of the HKCC (and anyway it is a bit far away). The FCC has a small gym, bars, restuarants, pool table and live jazz twice a week. It isn't expensive (currently HK$5000 to join plus $950 per month, vs $100,000 to join and $1200 per month for the HKCC) and it is conveniently located for Central. It's a much nicer environemnt for me than most of LKF (which is very close by) - I prefer to drink in bars where the music is not so loud that I go home with a sore throat from having to shout to make myself heard.