There are three levels for Sephora's rewards program: Beauty Insider, VIB, and VIB Rouge. Everyone automatically qualifies to be a Beauty Insider, so if you sign up, you'll get a birthday gift (see: free makeup) and free beauty classes.
If you spend more than $350 a year, though, definitely get in on that VIB access to get additional exclusive savings and a makeover. Planning on spending more than $1,000 a year? You'll get the all-inclusive VIB Rouge membership, which gives you free two-day shipping on all orders and invites to events.
Regardless of what club you're in, you rack up points every time you purchase, which you can spend on gift sets and makeup, so definitely sign up.