Students who participated in after-school activities for two or more years during high school were almost twice as likely to complete college than those who did not. This finding comes from professors at Columbia University, who also found correlations between participation in extracurriculars and increased high school GPAs.
The key is not simply joining a club, but being involved for an extended period of time. The determining factor is persistence, or "grit". If you can develop persistence and passion for an activity, that mindset is likely to carry over to your academic pursuits. In contrast to the extrinsic motivation of grades, GPAs, and test scores offered by the classroom, extracurriculars require you to develop your own passion for the activity. What is most important is your level of engagement with the activity, not whether you chose soccer or a Lego robots club. There's no one activity that is better than the others, be it football or chemistry events in Science Olympiad.
Students involved in after-school clubs are actively developing social skills and time management skills. Many athletic teams require students to maintain a certain GPA. Games in the evenings and on the weekends require students to prioritize their time to be able to finish their algebra homework and study for that upcoming history test. The same goes for students involved in science or math competitions. Learning how to balance academic passions with extracurricular interests makes students learn how to manage their time and resources.
Try a few clubs, and find one or two that spark your interest. Then keep going back to those clubs, and along the way you'll be likely to develop adaptability, leadership skills, and self-initiative.