Greetings and welcome when you do arrive in Canada!
I can answer a few of these questions for you. I work with The O Zone, and for us, there is no annual membership fee. We incorporate that into the first visit, and it never expires. (I understand most of the other clubs have an annual fee... no idea if they allow a 'visitors pass' without membership for a 1 time visit)
The O Zone is only open Fri and Sat nights, and admission for regular nights (unless it's a super party) are Fri = $40/couple, Sat = $60/couple (membership is included). We also have "DP Fridays" where if you go on Fri and pay the admission, let us know you'll be back on Sat. night and you're in for free!
The membership fees in Ontario allow a club to allow 'on premise' sex (don't need to go to a hotel room when you're ready to play). Gathering personal information on each couple allows us to be a "members only club" and is another aspect that allows us to offer the On Premise aspect.
Swinger Rules/Etiquette stipulate 'no touching without consent' and 'no means no'. Most swingers use protection with any partners not their primary, and most clubs in Toronto (at least The O Zone does) supply basic latex condoms and lubricant. (we also offer FREE locks/lockers, towels, shower, mouth wash, parking, snacks and food served throughout the evening, self serve coat check - many of the other clubs charge for some of these.... downtown clubs have crazy expensive parking fees)
Not all attendees at all swingers clubs are swingers. Lots of open minded couples like to go to The O Zone or other spaces just to dance, dress provocatively, flirt with their partner and perhaps others. Don't be surprised if you are turned down, as not everyone is interested in the same things you might be. (like public sex, sex with someone not their partner, or penetrative sex). It's been my experience that some people just like the atmosphere at a club.
The O Zone is a nightclub with dance floor and stellar sound and light system, and rotating DJ's. Most of the Toronto swinger clubs have a nightclub feel (except Oasis... it's more like a bathhouse, light music, more casual and is open all day)
Not knowing what the norm is in Europe, I can't really answer in comparisons. We prefer a dress code of "Dress to Impress" rather than street clothes (if everyone dresses up or wear costumes, that adds to the atmosphere.... if ppl are wandering around in jeans and flipflops, that really reduces the energy in a room/club).
How do people approach each other? Politely without touching... start with a question or comment. (Have you been here before? or Those are gorgeous shoes! Really makes your legs look great! That usually breaks the ice enough to know whether you should stick around to chat, or move on.)
Hope this helps!! Safe travels!