The general word is "Verein". "Bist du in einem Sportverein?"
As mentioned further down by dnovinc "Club" is also another word for "Disko(thek)". So I (native German) would use "Club" only when I talk about a specific club which is a "Club" by it official name like the FC Schalke 04 (FC=Fußballclub) or ADAC (Allgemeiner Deutscher Automobil-Club). Every Club can be called "Verein", but Vereine can only be called "Club" when they are officially called like this. "Verein" is a legal term. Many German clubs (Vereine as well as Clubs) end with "e. V." (eingetragener Verein).
By the way: "Klub" and "Club" are both common and correct.
Vereine is a masculine plural noun in nominative case http://www.canoo.net/inflection/verein:N:M
Possessive pronoun "unser" has to agree with the noun. http://www.canoo.net/inflection/unser:Pron:Poss:1st:PL (first table, plural nominative )