I sometimes have problems using into.... What about the following sentences, are they correct?
-Go into your bedroom!
"Go to your room!" would be much more natural. Although what you're actually telling the person to do is "go into" their bedroom, in the imperative we don't usually say it that way.
-He took me into a nightclub.
This would depend on context.
If someone was showing you some properties in a town and took you to see various buildings, then you might say "He took me into a hotel and a restaurant in the morning. In the afternoon, he took me into a nightclub".
However, if you had been out on a date (for example) and someone asked where he took you, you would say "He took me to a nightclub".