misskimothy, I totally agree the gym is totally unnecessary. It can certainly be exactly what some people love, but if it's not for you, don't waste any time worrying about that. There's so many things you can do outside of the gym. I know TBG believes in weight loss and maintenance without the gym too!
I live by my yoga (even if I was weirdly delinquent about any exercise this summer

). So many benefits, both mental and physical.
Me, I'm the type to research the heck out of things and do them on my own. So I read a lot of books about yoga, bought a few, and did it at home from the beginning. I've actually never been to a class - it's certainly a lot safer to start with a class, and I really want to attend some because I know I have my blind spots. You can get videos too, although I can't recommend any as I haven't used any.
An excellent book is
Yoga Mind, Body & Spirit, by Donna Farhi.
I personally like a daily, very early morning yoga practice for 1 to 1 1/2 hours. I include Sun Salutations (a great warm-up for any activity, and can be aerobically demanding), lots of standing poses (great for strength and further warming up), and core and arm poses (I get compliments on my arm muscles purely from this). Then backbending, twisting and forward bending floor poses, and shoulder- and headstands. I end with Corpse Pose (laying flat on your back), which I have come to adore. Doing all of this with attention to breathing and mental focus is what makes it yoga and not just calisthenics and stretching.
Walking is also excellent, of course. Running can be more accessible than people think. Try
Jeff Galloway - he advocates frequent walk breaks for runners as a standard practice (not just for beginners), even / especially for running longer distances.
Other non-gym ideas:
Bicycling, rock-climbing, dance, mini-trampoline, hula hoops, jump ropes, body weight exercises (which overlaps with yoga), weight training at home with resistance bands.