I tend to go to strip clubs by myself. It's not that I'm a loser that doesn't have a life (well, maybe partly), but my friends always bail on me for one reason or another. The etiquette depends on the city and the club that you go to. Some places allow full contact, others don't. Also, different girls have different rules. The best thing to do is to ask a girl what the house rules are. Also, like Juiceman said, be prepared to spend a lot. It doesn't necessarily mean that you should come home broke off your ass and in debt, but for the most enjoyment by yourself you should get a lap dance or 3.
One very important thing to keep in mind is that strippers aren't there because they're sluts ready to fuck any guy that walks into the club. Most of them are college students or single mothers that are trying to make a living. Don't go into the club expecting to get your dick sucked or to fuck any girl there. Some girls will do extras in a private booth for extra money, but that tends to be frowned upon by most clubs (again, it depends on the club) and will not necessarily be offered by all the girls. You should ask the girl about it when you're in the booth, not out where everyone can hear. Asking about extras out in the open can be grounds for asking you to leave the club.