A question I had once upon a time when I first picked up the Bond novels. Here's the rough answer as I understood it after an internet dive.

TL;DR- it depends on the amount of money you're throwing around.

There were a wide variety of social clubs catering to a /fairly wide social strata in the first half of the 20th century (although they date back at least as far as the 16th, let's limit ourselves to the time period in question). At the most basic end you had glorified bars where fairly rich gentleman (no girls allowed was a general rule until fairly recently, and is still the rule in many establishments) who considered themselves too high-class to spend the evening at the pub rubbing shoulders with the working class gathered to have a pint, shoot the feces, and illicitly gamble. At the other end of the spectrum you had... pretty much the exact same thing for stupidly rich people, with expensive wines and spirits instead of beer, the manure being talked more likely to involve high level business or government knowledge, and the gambling containing entire yearly salaries for the lower classes being bet on hands of bridge. These clubs would often have a specific affiliation with a given profession, political party, sport, or other major topic that brought it's members together.

The buildings are also obviously different. A very high class social club, such as the venerable Boodle's, Brooks's, or White's in London, are basically mansions made available to the members, who pay as much as a hundred thousand dollars a year for membership. Meals are provided to order, music and other forms of entertainment are provided, huge sums of money were gambled regardless of legality (there have been rumors, though obviously no proof, of wealthy gentleman betting on literal deathmatches, with the unfortunate losing fighter turning up in an alley the next day), and in many cases (I'm given to understand Boodle's and Brooks's do, but White's does not), bedrooms are available for the members use.