It's totally cool. I've been a few times. If you can either afford the mega money for a membership or know someone with a membership, it is a definate must do.
Depending on where you work, most major companies have corporate memberships. My second and third trip was on one of these. We had a small group within the organization (8 people) and as a treat, we got to use the corporate membership.
Tip: Always go for the all-you-can-eat buffet lunch instead of dinner. It is the same price but you get a selection and WAY more food. Dinner you order off a menu. Booze is extra (but worth it).