There is only one good wine club - the Wine Society, which charges £40 for life membership (currently including a £20 credit towards your first order). Thereafter you buy whatever you want, but quality and pricing are consistently better than average.
In my experience all the others are just complicated marketing exercises calculated to sell pretty ordinary wine at above-average prices.
There is a website called
http://www.supermarketwine.com which provides a digest of recent wine reviews sorted by retailer. i.e. if you are going to Tesco or Majestic or wherever you can find recent recommendations.