Weighing on our decisions:

*Need for unstructured time vs intense physical activity
*Bedtime and sleep (swimming practice around here starts at bedtime)
*What the "next level up" provides that the current one doesn't.
*Coaches and peers.
*Total cost

In our case, bedtime and the need for unstructured time outweighed the need for intense physical activity. When DD was 10, though, the tables turned, and we allowed her to try out for a club soccer team after we sorted out which clubs had a positive coaching approach.