The groundhog legend goes back to the early Christians in Europe. The Romans brought the tradition to the Germans who used a hedgehog to predict the upcoming weather. Since Pennsylvania's earliest settlers were Germans they applied the ancient custom to groundhogs since there were so many in the state and they were similar to hedgehogs.
The Groundhog Club is the Inner Circle who cares for and feeds Phil. The club's President is the one that Phil speaks his prediction to. The President is the only one who understands "Groundhogese" (which is the language Phil speaks), and he translates Phil's proclamation to the world!
You can learn more about the Groundhog Day celebration in Pennsylvania, it's history, and much more by going to groundhog.org.