The closest quarry to Oxford will be Fantasy Lake in Rolesville (
website). They have a dive shop on site called Capital Scuba (
website). There is also a dive shop in Durham, Water World (
website).
As for dive clubs, I don't know of any particular local clubs. However, NCDivers (
website) is a statewide group of scuba nuts (and some just plain nuts) who are always getting together to dive. You're going to find us at Fantasy Lake (and other quarries) nearly every weekend. You'll also find us jumping off perfectly good boats on a regular basis off the coast. Come check us out sometime...we'll make sure you get wet.