Depends
Club where people are more obsessed with fashion than having a good night - Shoes
Good club - Trainers, or whatever you like really
I don't go to clubs with dress codes, they usually charge entry, then extortionate amounts for some pissy pint of beer, the music is the kind of **** you hear on radio 1, the girls are all duckfaced fake tanned wearing slags and the guys are all pretentious ****ers who're trying to shag the girls. It seems to me the only reason people go to these places is because everyone else does and they don't want to be left out.
Stick to clubs without dress codes, in my experience they are a far better night out, you'll meet some good people, have a laugh, plenty of guilt free beers because it's not stupidly overpriced and you can leave happily whenever because you don't feel obliged to get your moneys worth.