There's definitely scope for some sort of loyalty card, particularly for the programmed festivals who control all their listings, prices and so on.

It would be tricky on the Fringe, where so many venue operators are independently involved and wouldn't like to give out free tickets to folk who've spent money at other venues. That said C Venues offer a loyalty card:
http://www.fringeguru.com/how-to/saving-money/fringe-bargains_2.html

Be careful if asking for a C Card though as they are quite different.

Forgot to say, for those seeking some loyalty discounts on the Fringe there's always the Friends of the Fringe scheme:

http://www.edfringe.com/friends

I would hope there would be scope for the overarching group 'Edinburgh festivals' to co-ordinate the basis on which a loyalty card could be offered. Another benefit for organisers could be, like other loyalty cards, information on individual's preferences could could be collected by Edinburgh Festivals and resources targeted accordingly.