Part of being a historian is being active in the field and one of the ways to get active is to be a member of a professional association or society. I am currently a member of the Society for Military History and the Army Historical Foundation (sorry to the rest of the branches, but I am an Army Brat). I am also involved with H-Net, which is a consortium of list servers and discussion based online networks on a wide variety of Humanities and Social Science topics, mostly history related. I have also been a member of The Historical Society and the AHA, but left the former to use the funds that would go to it to pay for membership in other organizations closer related to my research. I left the AHA for personal reasons that I will not go into here.
I have been happy with my membership in the Society for Military History and Army Historical Foundation, but I decided that since I am getting a bit further along in my graduate education, I wanted to join a couple new groups. Therefore, a few weeks ago, I mailed in my application to join The Society of Civil War Historians and just last night, after consulting with my thesis adviser yesterday, I joined the Southern Historical Association. I am contemplating joining the Society of Historians of the Early American Republic (SHEAR), but will have to wait and see about my finances.
There are many advantages to being a member of a professional group, like the ones above. You get a subscription to a quality peer-reviewed publication that offers up the latest scholarly happenings in the field. This is important, as one should be up, as best as possible, on the latest trends in their research areas. Second, you often get discounts to attend the national meetings and conferences held by these groups. These meetings, which often include a conference, as well as other conferences offer the opportunity to share your research with other scholars, as well as network with other members, which can be great for future employment. In addition, some groups have job sessions, where preliminary interviews are held for various positions around the nation and world.
In short, there are very few reasons, except for having more money in your bank account and more shelf space in your home (which are bad reasons anyway), to not join a professional society. Graduate students are especially encouraged to join, as it looks great on the old CV and on applications for programs and fellowships, plus most groups offer discounted rates for students, since they realize most students, myself included, do not have as much discretionary income. I encourage you to check out the groups I mentioned and look for others that maybe closer to your interests.