On CodeGuru.com Paul Kimmel has a nice write up of what the value of being an active member of a user group in his article Exploring the Value of .NET Users Groups. I know that I have reaped many rewards from being active in the San Diego user groups and I hope this can convince every developer to get involved.
In the US if you want to find a group close to you go to codezone.com and search for a group. I like codezone.com as it has groups of all types not just the INETA .NET groups.
Disclaimer The opinions expressed herein are my own personal opinions and do not represent my employer's view in anyway.