My friend recently told me about how a guy bought her and her friend a bottle of wine in a club, and they took it and disappeared while he was still paying. I know of some girls who actively fund their night out with this method.
Now I'd feel bad about doing that, but by the time I'm in the club I don't want any more alcohol even if it is free.
Don't do it unless you have enough money to fund a 10% success rate*
Last time I went out I was quite impressed with the guy who came over and just struck up conversation by asking where I was from (A good tactic since it invited the same question in return and he wasn't local, leading to more conversation.)
How you start off the conversation doesn't matter since everyone's drunk, as long as you can keep it up. Persevere if she can't hear you, if she's interested she'll keep trying.
However, I think the next lady was less impressed with how, after I said I had a boyfriend and I'd clarified that I wasn't interested in cheating on him, he immediately moved on to chatting her up. Try not to chat up girls who've just seen you chatting someone else up. No-one wants to know that they're second choice.
Be prepared for a low success rate; some girls will have boyfriends, some won't fancy you, but not many will judge you harshly for giving it a go.
Regarding dancing, dancing well will earn you bonus points, but dancing badly with a smile is usually OK too. Don't look too serious and don't dance provocatively unless you're clearly messing around :P
*Statistic made up on the spot, but it's probably an optimistic estimate.