A couple of ideas.
I imagine as a club you have all sorts of memorabilia that builds up, posters, cd samplers, stuff bands leave behind etc... Why not have a day every few months where you lay all this stuff out in the club, members of this "VIP" club could come to the club during a certain time period, maybe before a show, show their card, and choose two items (or any other number you choose)to keep. All music fans dig the rare find from a favorite band and this sort of reward would be right in line with your goals.
Alternatively, the CD sampler idea is a good one, but rather than mail them out, thus the address sharing problem, have them at the door and if you show your "VIP" card to ThatGuy he'll give you one. You could announce in advance when they are available and so people would know to ask when they come to a show.
I also like an idea of cheap drinks with the "VIP" card. Say, all VIP members get $1 Bud Bottles at the downstairs bars, or some similar type promotion. All those who don't drink Bud may disagree, but then again they are probably communists anyways.
Just my 7 cents.