I'm really unhappy with my current weight, and I realized recently that I can make all the changes I want to my diet, but I'm still not going to get very far without exercise. I'm thinking about joining a gym, but I've never belonged to one before, so I have no idea what to do first. Help me, please.

Also, for what it's worth, there's a Curves and an Anytime Fitness where I live, so if anyone has praise or horror stories about either let me know. I would prefer to stay away from Curves because I know some old coworkers of mine work out there, but if Curves is amazingly awesome, I suppose I can be persuaded to try them out.