I am a member of the Columbia House DVD club but I don't use it very much. I have been a member now for a couple of years but I have not fullfilled my membership yet. I did get several DVDs when I joined.
I usually buy my DVDs from www.deepdiscountdvd.com They usually have the best prices plus free shipping but they take their time to send you your order. It usually takes several weeks.
As far as Columbia House goes I noticed that the regular price DVDs which are the ones that you have to purchase in order to fullfill your membership are a little pricey, but if you pay their full price you get discounts if you purchase other DVDs. Maybe when you fullfill you committment you will get better deals and not have to pay full price if you just want to order one DVD. I'm not sure though. You do have to pay shipping for each DVD though.
I have joined and cancelled 3 times now. It is a good deal if you buy 6 to start with and only have to buy 2 more in two years. But right now I think you have to buy 5, option of a 6th for $14.99 and buy 3 in two years. (That's buying 9 as opposed to buying 8). I think the current savings code is 23E or E23 to get the buy 6, only buy 2 more in 2 years. The cost averages out to around $10 per DVD with that.