Okay, first off, I think this is kind of a dumb question (on the interviewer's part, not the poster's part). I say this because most times it's not surprising based on what the person has already told you. You're going into consulting and you want to be in the consulting club? Well golly, gee.
Second, if this question is asked & you know enough to turn it into things that you would like to do with a specific club, that is probably best (I want to use my programming background to fix the finance club website, I want to build out an interview tool kit for retail interviews, blah, blah, blah)
The next best tactic is to relate it to your background somehow, but I would stick to the "unique" clubs here. Like I said, if you're looking to change careers to marketing and you say that's why you want to join the marketing club, that's boring.
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"Egotism is the anesthetic that dulls the pain of stupidity." - Frank Leahy