Stevens has been the butler for countless years. The primary purpose of the club is alluded to by the inscription on the main fireplace's keystone: "It is the tale, not he who tells it." Most nights, one or more of the members will share a story with the others. The Thursday night before Christmas is traditionally reserved for a "tale of the uncanny," such as The Breathing Method shared by Emlyn McCarron.
The library at 249B East Thirty-Fifth Street is notable for its collection of works that do not strictly exist in this world -- written by nonexistent authors, published under nonexistent imprints. Stevens associates this with the "many rooms" upstairs, and the many entrances and exits thereof.
Connection to the Dark Tower
"[...] and when the wind rose in another wild whoop, I felt momentarily sure that the front door would blow open, revealing not 35gh Street but an insane Clark Ashton Smith landscape where the bitter shapes of twisted trees stoos silhouetted on a sterile horizon below which double suns were setting in a gruesome red glare. [...] I opened my mouth. And the question that came out was: 'Are there many more rooms upstairs?' 'Oh, yes, sir,' he said, his eyes never leaving mine. 'A great many. A man could become lost. In fact, men have become lost. Sometimes it seems to me that they go on for miles. Rooms and corridors.' 'And entrances and exits?' His eyebrows went up slightly. 'Oh yes. Entrances and exits.'"
A clear link that the building which inherits The Club is on one level of the Dark Tower where many doors lead to "other worlds than these".