If you can choose only one club in OKC I recommend Citywalk. Birthdays and special occasions are always fun here. If you get in early the piano bar is a nice place to start. Citywalk is 7 clubs in one and you must be 21 to enter. If you can find Bricktown you can find this club. This is a younger persons club with lots of fun. Please see their webpage for pictures and more info.
Note: Cover charge is high and parking cost.