A "club" means a place that has really loud music for dancing or with a live band, so no one can hear each other talk, right? So if you want to go to a club alone to hear a band or dance, why not? No one is going to know that you came there alone, right? (I'm putting this all as questions because I don't know. I've never been in a club, because they're too loud for me even from the outside. This is Seattle though, maybe in other places a "club" means something different.)
What kind of party can you go to without knowing anyone there or getting invited? Sometimes I see a party in the neighborhood that seems to have people 21 (drinking age here) and younger (illegally drinking) that I could try to crash, if I weren't 42 and if I liked drinking and loud music and didn't have SA. Any other kind of party is not that loud and obvious, so you're not going to know about it unless you're invited.