Is there such thing as a wine club, like in this TV show?

I was watching a re-run of Frasier were they belonged to a wine club that had an old classical like atmosphere (at a loss for words here), with candles and such. I’ve never been to a wine club, when I look them up they seem to be held in boring conference rooms. Do old fashioned wine clubs like this actually exist. I live in Denver Co, can any one recommend any Interesting wine clubs to join.