It would perhaps be interesting to see how it compares to the number of people who have registered for the online Cage - do you have access to that info ?
Over a thousand, but the list is flawed as it contains many invalid e-mail adresses and double entries. Also, as it's for free, it doesn't give an indication of how many people would be willing to pay a membership fee. Still, it's an impressive number and it does give an indication of how many people are more than averagely interested in the band (just like the number of subscribers to the Verglas newsletter does, don't know what that number currently is).
What would fans be willing to pay for; I second what has been said by many others: give members something exclusive, both in terms of material (exclusive cd's/bonus tracks etc) as well as inside information (interviews, studio diaries etc).
A "non-virtual" fanzine is great of course, but it's a hell of lot of work! Writing, editing, lay out, getting it printed and then putting it in envelopes to send it out to the database you have to keep up to date, it's a demanding task I know

Also, the internet allows for news to be spread fast, so with a magazine you're always running behind and you will have to compensate this with (e-mail) newsletters in between. A magazine should then complement this with the more in depth stuff. Besides the effort that has to be put into a fanzine, keeping it "virtual" means you save printing and postage costs, which lowers the membership fee (this is one of the main reasons why The Cage changed to this).
The Marillion Web model is a prime example of how it can be done but is not easy to build and maintain: they have "sub-Webs" in various countries (The Web Holland, The Web Germany, etc.) that bring out magazines in their respective languages and all members receive an exclusive Christmas cd every year with interesting material. But for that you need a lot of members and a lot of volunteers to make it all happen! A worldwide club with a universal English magazine is a more feasible option.
Besides the Web fan clubs, Marillion have more acitivities that may serve as an inspiration: they offer a plethora of releases on their Racket label (live cd's, DVD's, making of's, Front Row Club series), they host great fan Conventions/Weekends which are attended by fans from all over the world and their website is excellent.
To conclude, I suppose
the thing to reinvigorate the interest in Arena would be the release of a new album and a subsequent tour. As Arena are on a sort of hiatus at the moment, activity here on the forum and also at The Cage is running low (btw, we will soon be putting an interview we did a while ago with Mick and Clive on our website! I'll post here to let you all know when it's out).