Markjorge1: There are 7 clubs I can name off the top of my head in the GTA: The X Club, O Zone, M4, NYX, Jeanies, and Oasis.
Most of the clubs are night club style (except Oasis, see below) with dance floors, full licensed bars, on premise play areas, and are open on the weekends (Friday/Saturday typically). All have websites that should be easily found through the google.
We've been to all of the clubs except Jeanies, and our favourite is X, though this is understandably subjective.
Oasis, is a little different, being more like a spa with a heated pool and hot-tub and occupying a renovated mansion - and is the only club downtown. It can be great to spend a leisurely Summer afternoon naked by the pool.
The local swinger site for the GTA and surrounding area is cafedesire.com. All of the clubs post their upcoming events there, and if you are looking to connect with local folks before you arrive, that may be a good place to start. I believe there is a free 1 mo. trial membership.