Do Show Up Early - Many clubs are have a policy where if you show up early enough, there is no cover charge.
Do Dress Comfortably- This is really more for the women. For me, knowing I am going to be up late, dancing, walking from club to club, I like to dress as comfortably as I can. So try and avoid clothes and shoes that are too restricting.
Do Stay With Your Group - This is a big one for me as it involves safety. I know for a lot of people the whole point of going to a club is to meet people. But honestly how can you even really meet anyone with the music so loud and everyone so drunk. For safety reasons it is best to stay with your group, or at the very least make sure you leave together. Getting separated can lead to trouble so have each other's back at all times.
Don't Go To Unknown Areas -try to avoid areas you are not familiar with. Or at least, try and do research and make sure the club you are going to is not known for fights and violence, especially if you are from out of town.
Do Pre-Game (if you can) - Drinking at a club can get very expensive so if you are taking a cab to the club or walking, drink some beforehand so you won't have to drink as much when you get to the club.
Do Have Your Phone Charged- Make sure you phone is fully charged before going out. Anything can happen and the last thing you want is to be stranded alone with no way to contact anyone.
Do Have Taxi on Speed Dial - Make sure to already have the number to a local cab company saved to your phone before you start drinking. That way you can avoid drunkenly trying to look up a cab later.
Do Know When You Have Had Enough - Know your limit. You don't want your friends to have to babysit you because you can't handle your liquor. And listen to your friends when they tell you you've had enough.
Don't Go Alone - This rule is for men and women. Even if you are a big tough guy, avoid going out drinking alone. It is always good to have a buddy to help look out for you should things get crazy.