Sometimes I wonder if the folks saying "don't join a gym" have ever lived in a place where trying to go jogging in the wintertime either means: trying to run through knee-deep snow because neither the city nor your neighbors can be bothered to keep sidewalks / bike trails clear, or jogging in a street which is made of solid ice from all the packed down snow.
:P Really. Outdoor exercise is great and all, but in the winter around here I'll take the gym any day.
A gym isn't necessarily a waste of money, either. The uber-expensive gym is the cliche, true, and there are gyms out there that want $50-$80 a month or whatever. But there are also decent gyms for much cheaper--just lacking in spas and pools or whatever makes those other gyms so expensive.

I pay $15/month for my membership, month to month, and get access to lots of cardio and weightlifting equipment. (The gym I go to is a favorite of weightlifters in the area, so weights make up the majority of the place, but there's a good amount of treadmills/stationary bikes/ellipticals there, too.) I'd say that's worth it.
In the beginning, join a gym (or if you have a treadmill at home, use that. Or if you prefer to jog outdoors, do so) and visit it 3 times a week, jogging for half an hour. I noticed that people who start out easy and gradually move on stay with it longer than people who start out full blast. Those guys just end up burning themselves out. (You could replace the jogging with swimming too. I found swimming to be much more effective). Also, remember to go in rotation with exercises. E.g. a month of jogging, then a month of swimming, then a month of the elliptical, then a month of cycling, then start over. This challenges the body and makes it keep losing weight. For the three exercises that take place in the gym, it might be a good idea to take an iPod a long.
This is really good advice. :thumbsup: I've been trying to start something similar, but the trouble in the past couple weeks has been finding the time to go to the gym even 3 days a week.
You could also play http://www.youtube.com/watch?v=2PtvLTZS4Ik whenever you work out.
Does your workout turn into a montage when you play that? Because that would be awesome.