There is a good discussion on Magic Societies in one of the MO forums, which I have now moved out into the open as I feel it is useful to all members. It nicely discusses the pro's and Cons of Joing a Magic Society.
The thread is
here.
As you may have guessed, personally I am very for it, and think you should start off attending both just to get a feel for which you prefer. There's no law against being a member of multiple clubs though.
As for the audition. Don't worry too much about it initially, as you don't have to do it at once. I must admit I was terrified for mine, and it very nearly put me off joining, so I won't belittle it by saying it's no big deal. For me it was, but from the societies point of view I don't feel having to do an audition is a bad thing as it shows each member has commitment to the art.
Looking back on it now, I can see that although it was an ordeal at the time, I was very proud of myself for doing it and it was just another necessary step in improving my magic skills. After all the actual art of perfomance is arguably a more important skill to learn than card and coin sleights etc.
Scott F. Guinn also wrote an interesting article on the pros and cons of magic societies in his on-line visions column.
http://www.online-visions.com/pro-files/0304.html