What makes a fan club cool? What makes is special? Those are the million dollar (I hope) questions. What would I be willing to do/pay to be a part of a fan club? More to the point, what would YOU do?
A fan club's duty to the fan. It should:
Identify you as a fan. You care more than the average person. Celebrate that.
Provide content that only you, the real fan, wants, needs, and can get.
Allows you to identify yourself as a fan in some public manner. Wave the geek-flag, as it were.
Allows you to participate in the success of the thing you love.
Embrace and build your fan community. If people care, provide them an outlet for that emotion. Listen. Care back. Be your fan's greatest fan. Act on their behalf as you'd have them act on your's.