I'm in the Socks That Rock club and Woolgirl's club, and I have to say that for the money, Woolgirl's is a far better deal--beautiful yarns and patterns, as well as lots of really cool goodies. The clubs are pricey, though--over $200 each. I had to save my pennies to join both, that's for sure.
Woolgirl also offers a by-the-month club (I think this year it's Wizard of Oz themed), so you get to decide each month whether you want that month's club goodies. There are other sock clubs that offer the same pay-as-you-go participation.