A Tesco clubcard is worth having, and it's quite easy to accumulate a reasonable amount of points if you do your food shopping or buy your fuel at Tesco, and there are many other companies partnered with Tesco to help you boost your points, such as E-on. When it comes to exchanging your points, you can get up to 4 times their value if you opt for the special offers available on days out etc.
I also have a Boots advantage card, as I use Boots quite often.
I think Nectar has a good loyalty rewards scheme and I do have a card though it's one that been abandoned at the back of a drawer.
Yes, it can take years to accumulate the points but I do think loyalty rewards cards are worth having.