This article is based on ethnographic research carried out in male sex clubs in São Paulo between 2006 and 2008. Drawing on interviews conducted with club-goers and club owners, it discusses the recent segmentation of the sexual leisure market for men in the city, and the processes by which stereotypes and characteristics associated with virility are valued and performed. The possible effects of these processes on subjectivity constitution are also investigated. In sex clubs, sexual practices considered borderline, such as fist-fucking and other practices associated with BDSM, are material for specific and refined learning. The data gathered from interviews show that condom use and drug and alcohol consumption are subject to a sort of surveillance and control, especially when it comes to their questions of 'excess'. This control provides sex clubs with a sense of legitimacy, making them part of a viable erotic market. The intention here is to demonstrate the analytical interest of this control in the context of the construction of subjects and bodies that matter in these venues. Like practices which evoke control or loss thereof, bodies and clubs need to have their excesses checked so that they are intelligible and desirable.