I usually go to the cinema or a dance club.
I was taught that definite article is used when talking about something unique (for example, if there is only one cinema in thw town, or if both the speaker and listener know which cinema is meant actually).
Why did the speaker say "A dance club", then? Does he or she want to emphasize that there are more dance clubs in the town?
We generally say 'the cinema' even when not being specific about which one, so there's no emphasis here, just custom.