Well...I never joined a gym b/c I couldn't afford it. Really, it was just an excuse not to do so. I joined a few years ago, and even though it's $36/month, I feel like it's a great investment. I feel so much better and have more energy. I eat out less and I've found that concentrating a bit more on how I exercise/what I eat, I also tend to concentrate more on how I spend my money, eat out less, eat less JUNK, etc.
$36/mo is cheap for a gym. I am jealous!
Gyms around where I am tend to be expensive, and my health insurance doesn't do any reimbursement. (You get a discount on some gyms, but none near me have what I want -- it's mostly Curves, which I loathe). I've done some community ed classes, though, and those are fun and inexpensive.