I remember talking about this the other day but I guess my posts on it were deleted because I was arguing with someone at the time. It really depends on the individual club and I think some state laws come into play. For the club I went to, we couldn't bring a cooler, had to buy mixers and ice inside (at a premium, since they don't sell the booze, it's how they make their money) but otherwise they were cool with what my group brought. At least, I don't remember getting into any sort of discussion. I know I had a fifth of rum and no one said a word. Some buddies had beer, another had tequila, etc.
It also kinda sucked but eh, experiences I guess.