I have gone clubbing a bunch but i really didn't like it until I was old enough to drink. Even then it got old and i never go now. Not saying you shouldn't have the experience though.
Don't go under dressed. People dress extremely "clubby". Fun, dressy and a little more revealing than normal. Some cool heels are fun to wear if you can dance in them. It's a perfect time to wear crazy makeup too.
don't take a whole lot. It's easier to go in a group because a friend can watch your stuff and drink while you dance and you can take turns.
If you plan on drinking make sure that you don't have to drive and your driver isn't drinking. Don't get smashed. It is embarrassing to throw up in public and it's dangerous. People can take advantage of you easier if you are drunk and your defenses are down. It's always good to have a "babysitter" with you if get drunk.

I had a guy grab my arm really hard once and he wouldn't let go... i had to jerk away and get lost in the crowd. You have to be so careful! Watch your drink and keep an eye out for crazies.

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