Good for you for working up the courage to check out your local gym!

I think most people are a little (or a lot) intimidated the first time they go to a gym. It took me two years of sneaking sideways glances as I drove by before I actually worked up the walk through the doors of my gym (and I made my SO come with me so I wouldn't have to do it alone).
Don't feel like a jerk asking for free stuff. It's really smart to do that; I wish I had. A lot of gyms are willing to give you special deals if you don't jump at their first offer. If they want a year commitment, ask if there's any way you can reduce that. If they want a initial start-up fee, ask if that can be reduced or eliminated. Find out if they can reduce your monthly dues--you can say something like "this is a little more expensive than I was expecting, is there any way to reduce the fees?" Ask if there's any way you can get more than one free personal training session or a reduced rate on personal training. Some times the best way to negotiate is to act like you aren't really sure you're interested (I once got $500 off on a mattress with this approach--it was an accident; we were really "just looking" but once they cut the price by 1/3 we were buying).
Having belonged to a gym for three years, here is what I would look for:
1. Convenient location. I picked my gym because I can walk to it from my house. This trumps all other considerations for me. Having my gym so close has really been key to my continuing to go to it.
2. Personal training at a reasonable rate. Having worked with a personal trainer for three years now, I doubt I would ever join a gym that doesn't offer this. It has hands down been the number one factor in my success.
3. A wide variety of equipment and lots of cardio equipment. Variety has also been key to keeping myself motivated, so having lots of different types of cardio equipment is really important to me. And have lots of machines so that I don't have to wait to use the cardio equipment is also important. Go at the time you normally expect to go--are the cardio machines that you want to use available or would you have to wait for them?
4. Lots free weights (so you don't have to compete with others for them) and free weights in 5lb, 8lb, 10lb, 12lb, and 15lb increments. I've been to gyms where the lightest free weight they have is 15lb. That's great for guys, but I still need lighter weights for some of my exercises.
5. Other equipment available like BOSUs, exercise balls, medicine balls, resistance bands, etc. The more "toys" they have for you to work with, the better.
5. Equipment that is in working order. How many machines are broken when you walk around the gym. A lot of broken machines is probably a bad sign.
6. A clean locker room is nice but, I'm surprised to discover, not a deal-breaker for me. My gym actually is very clean, but the locker room where I swim is disgusting and I still swim there. The pool is truly fantastic, much better than the average pool, and that makes up for the disgusting locker room (and showers--I try never to touch anything in there--ick).
7. Perks like a sauna, steam room, etc. are nice to have (but their absence wouldn't be a deal breaker for me). If they do have these things, check them out to see how crowded they are.