The Holy Club was a group of Christians, including John and Charles Wesley and George Whitfield who met to form a 'method' to be good Christians. They had a list of things they should do each day; such as visit those in prison, visit the sick etc. It was very much a matter of 'works' as none of them at this time were born again'.
This took place in rooms by the chapel. Go through the first quad into the next quad; ahead of you is the chapel and to the right, on the first floor is where the Holy Club met. A blue plaque marks the spot.