I would also
strongly encourage you to do it. I am significantly overweight and joined the gym about 3 months ago, and it's one of the best things I've ever done! I was soooo nervous the first day, but I realized very quickly that people there couldn't care less about me. I think most people feel a little vulnerable doing physical things in front of others, so everyone is polite but somewhat distant (which was what I wanted -- although I should add that I also live in Manhattan, so this may be partly a New Yorker thing!
).
I also find that, for me, it's a lot easier to go to the gym than it was to get my butt out there and say, power walk. For some reason, the <i>structure</i> of going to the gym was just the thing I needed. I feel like "exercise happens here," and I actually LOOK FORWARD to going now, which is something I thought I'd never say (and I actually go at least 6x a week)! Just make sure the gym is convenient to get to (and that you feel comfortable whichever one you choose), or you'll be setting up obstacles to success before you even start.
My gym offered a free orientation session once you sign up, which I would highly recommend taking. Be aware that if your gym offers this, the trainer will probably attempt to sell you trainer sessions. Just be firm and explain that you're interested in just a simple orientation, and it will go fine.
As far as weight machines go, contrary to my own fears, they really are not difficult to figure out. Most have an illustration of how to use them. Just lift a weight that feels comfortable for you at first -- something that will challenge but not hurt you. You should aim for two or three sets of about 8-12 reps on machines.
If you need any more info from a relative newbie, feel free to PM or email me!
Jennifer