Once I hit two 4 of a Kinds back to back. The probability of hitting it once is 0.24%. The chances of hitting it back to back are 0.24%2 = 0.0006%, or 1 in 179,000. That's four times less likely than hitting a royal flush. And I would have preferred the royal! (By the way, purists will note that after you've hit a 4 of a Kind, the chances of hitting another four of a kind is just 0.24%, not 0.0006%, but I'm considering the probability of getting two back-to-back before I get the first one.)
You can usually sign up for these clubs online or by visiting a club booth at the specific casino. Then, when you visit your casino make sure you bring your card and you can usually place them into a card reader slot. Depending on the casino you can rack up points for different things. For example, at one casino you may earn points for the hours you play, or the amount of money that you bet while playing. Then, a certain number of points will give you an amount of money. At one casino, 100 points may give you $1.00. As you gain more points you may be able to pay for things like meals.