An observation I've had from being a member of BMG Music Service for ten years: the longer you're a member (or the more you buy), the better the deals get. When I first joined it, the offers were typically Buy 1 Get 1 Free. Then, it went to Buy 1 Get 2 Free, then to Buy 1 Get 3 Free. My current offer is Buy 1, Get Unlimited $1.99 CDs. As for the Columbia House DVD club, I've been a member of that for only a couple of years, so the deals aren't quite as good yet.
Another tip: buy a lot at once. You won't get good deals buy buying only one or two CDs/DVDs because the first one tends to be more expensive than retail (more so for the CDs), so to amortize that cost, you need to buy more CDs/DVDs (at reduced rates) with it. For example, with my current deal from BMG Music Service (Buy 1, Get Unlimited $1.99), one CD would cost $17.98 plus shipping, so the average CD price would be much higher than retail. However, if I buy eight CDs at once, the total would be $56.23 (including shipping), an average of $7.03 per CD.
Of course, this works only if you don't want to buy the CDs/DVDs when they first come out. Not only do the music/DVD clubs get new releases later than stores, but also you'd have to wait until there are at least four or so that you want to buy in order to get a good deal (see paragraph above).