Personally speaking, since we have very little space in our apartment, a gym works much better for me!
I'd definitely shop around - many gyms (especially the chains) offer a 'free trial period' - anywhere from 3 days to two weeks - so you can check 'em out.
Here's what I'd look for in a gym:
*First and foremost, make sure that it's conveniently located so it's not a big hassle to go. Having to travel a long distance to get to the gym can mean the difference between going and not going. Fortunately for me, my gym is about 2-3 blocks away from my house - I can walk there in less than 10 minutes!
*Lots of gyms (again, esp the chains) offer terrific deals throughout the year on memberships. Since 1994, I have been a member of 24 Hour Fitness - it's not the GREATEST place in the world but it's not bad! Every month they automatically deduct $24 from my checking account. For that $24, I get unlimited use of the facility, 24/7 (except for Christmas and Thanksgiving - actually, now that I think about it, they WERE open on Thanksgiving until around 3:00 p.m. last year). They have a really good selection of free weights and machines, as well as childcare, aerobics and Spinning classes, pool, Jacuzzi, etc. Actually my employer has a very nice employee's gym but I prefer going to 24 Hour because it's conveniently located.
* When you go check out a gym, go during the time YOU would be most likely to show up. Understand that weekdays after work (5 pm - 9 pm) are going to be the most crowded. Make sure that all the equipment looks well maintained and everything is clean.
* The salesperson is really going to pressure you into signing up that day - that's their job, after all
but I'd suggest that, if you have a trial period, to use at least part of it before signing up. So many people (especially after the holidays!) sign a big fat contract, come to the gym regularly for about a month and then just never show up (this happens every year between 2 Jan and Valentines day - then the population takes a real dive - must be all that chocolate!!).
*Oh, make a list of the things you're looking for in a gym. Childcare? Make sure that it's offered when you need it - most gyms that do offer childcare usually do so only during daytime hours. Lots of free weights? Precor ellipticals - make sure there's more than just a few - the ones we have are always busy - very popular machine. Yoga classes? Whatever, write them down and take the list with you when you check it out.
And of course, if you DON'T want to join a gym, I hear the Bowflex is really great! And as Shelly said, dumbbells can be had fairly cheaply - check your local PennySaver or whatever you call those free classified ads they always seem to dump in our mailbox every day! Good luck!
Shelley -- don't worry, I didn't start seeing visible results until later in my first Challenge - but I really FELT changes!!! Susanje said she didn't see any changes until Week 11! But as
www.hussman.com/eas says "You Really DO Change from the Inside Out!" Just persevere!
All I can really do is scroll, click and read. 
Gym or home workout????
