Yeah, those clubs are pretty annoying. It IS a great deal though when you sign up. 7+ CDs and all you pay is S&H?
Where they get you is with their jacked up "club prices" and limited selection, but really, you still make out like a bandit if you were able to find enough CDs you wanted for your intial free order.
Monthly selections are definitely a hassle though, but I was pretty good about getting online and shutting those down before they got out their warehouse.
On a semi-related note, I had a lot of problems with Columbia House DVD, if I forgot to say no, of course I'd get it, but I'd go through the motions of putting "refused-- return to sender" on the package and shipping it back. But they would never take it off my account. They said they never got it back. I had to complain about this quite a few times and I ended up getting the charges taken off.
I fulfilled my obligations years ago and cancelled the account about 2 years ago, but to this day every now and then they'll send me a bill saying I owe them like $70+ for even MORE DVDs they sent me. I've told them multiple times I don't have those DVDs, I didn't want those DVDs, I returned those DVDs, and I'll never pay them for them. But they just won't listen.