Go to the club's website and look under "Guests". Most clubs have a good list of guidelines on what to expect, dress code, tipping policies, etc.
And a nice gift is always in good taste and shows that you value the member's gesture. If you don't know the person real well and it is a small club, you can call the club and there is probably someone there who knows what the member's favorite beverage is, so you can get them a bottle of something you know they will like. ProV1s are always appreciated, but a nice touch is to have them personalized or marked "Thanks!" or some other way to make them a little more special. And make sure you have it nicely wrapped - don't just hand the guy a box of balls and say thanks.
Make sure you follow up with a nice thank you note afterwards (a handwritten note, not an email!). This is also a good time to provide the gift - spending time with them may help you learn more about what they like to drink or what ball they like, and that makes it easier to follow up with something they'll appreciate. But regardless, what they will really be appreciating is that you took the time to show your appreciation - what you give isn't as important as showing you put some thought behind it.