I have no idea if they have any interesting activities, but if you want to associate yourself with the most select, I think you have to go for the Prometheus Society. They claim to go for the top 1/30,000th of the general population. See <http://www.prometheussociety.org/links/index.html> for their list of high IQ groups.

Mensa is, by comparison, wide open to almost anybody.

Regards,
Jon