I have been doing pilates for the last 6 months and love it! I had quite a few people tell me that Windsor pilates is great, so I ordered it last week. We'll see how it goes
A word of advice: I don't know about Windsor, but a lot a pilates videos do not adequately explain the philosophies behind the exercise or what you should be doing mentally and internally. I recommend getting a book as well as a video. I bought one called The Pilates Body (you can find it at Target) and it made a world of difference!
And it's true that while excercises like yoga and pilates look easy, they really are not! It takes patience and practice, but I really love the feeling I have when I'm done and I love not all out of breath at the end of a workout.