I don't frequent clubs but ended up at one last night called TSI1. There's some nice lighting in there.
I shot these with my Canon S1002. I was just messing around last night, but now I want to go back and shoot for real. Time to go buy some glow sticks.
Links and Notes
Club TSI - According to their website: North Florida's Premiere Dance Club. I don't have anywhere near enough knowledge on the subject to know if that's true. I can say the light show is well done.
Canon S100 - My current everyday carry camera. If you're looking for a point and shoot, I can vouch for this one. It's great.