Before I get started let me say there is no definitive answer to this question. There are many variables like how often you play or practice or even the conditions you play golf in.
When talking about having your clubs checked I am talking about from a golf professional or a club-fitter. The club fitter I recommend is Club Champion. It is where I personally go and they have all the equipment to check everything for you. I recently went to have my clubs checked and have a fitting since I am considering purchasing a new set of golf clubs.
There are 4 main points you want to have checked. Over time the more rounds of golf you play can change the characteristics of your golf clubs. This is something most golfers do not consider and just assume their clubs have become obsolete. Sometimes the results of getting inconsistent shots can be attributed to one of the following that should be checked.
Lie Angle - The lie angle is a static measurement that is formed between the center of the shaft and the sole of the clubhead when the club is measured in a normal playing position with the center of the sole touching the ground line. This is the more important one as it can be affected the most, but first, let's define what lie angle is. Every golf swing you take the club comes into contact with the ground. If that ground is firm, over time doing this repeatedly can cause the lie angle to change.
Grooves - This is more determined by how often you hit each club and the conditions you play in. The more you hit a golf club the more you will wear down the grooves. If you play a more sand-based soil often or out of bunkers the sand can accelerate the wear on the grooves. The grooves will not only affect the spin of the golf ball but it will also affect the flight of the golf ball. The more the grooves wear down the golf ball will slide up the club face and fly higher and go shorter.
Loft - This is one that shouldn't change much but on occasion, it can. Loft will mostly get affected by rare things such as how you store your clubs, like do they get knocked around in your trunk. Also if you have a steep swing and take big divots there is a possibility of the loft becoming weaker as a result of the ground pushing your club back as you push forward on the shaft of the club.
Shaft - This again is something that shouldn't change much but the shaft can become slightly bent over time. Like with lie angle the shaft can get bent if it rattles around in your trunk too much, especially if you keep them in there during hot temperatures. There is also a possibility that a shaft could get weaker over time. Just like anything the more it is used the more it wears down. However, shaft material is made very sturdy and this should only start to happen after thousands of rounds.
When I had my clubs checked the grooves are wearing down and my lie angles have moved a small bit, even more with my 3-iron, which is most likely the result of hitting a punch shot out of trees and hitting a root in the process. Everything else was where it should be. While comparing the results of my clubs to some new ones during my fitting I realized I am losing 3 to 5 yards of distance with a slightly higher launch angle due to the wear on my grooves, which are actually not that bad for clubs from 2009.
Here is sort of a guideline for how often you should have your clubs checked.
If you play 4+ times a week (200+ rounds a year) have your clubs checked every 6 months to a year.
If you play 2 times a week (about 100 rounds per year) have your clubs checked every 12 - 18 months.
If you play 4 rounds of golf a month you can have your clubs checked every other year.
If you pay less than 2 rounds of golf a month you can wait every 3 to 5 years.
Wedges on the other hand should be checked more often than the rest of your golf clubs. Specifically for groove wear. These are the clubs most used and the grooves will wear down faster. Tour pros change their wedges about every 500 shots to make sure their grooves stay sharp. that includes practice and tournament play. You can check your wedges about every 100 rounds. Even if your grooves do wear down some you can get a regrooving tool, like the one I did a product review on, to get a longer life out of your wedges.