I live in Swindon which is about 15 miles from Marlborough there are both Fitness First and Cannons gyms in Swindon. Personally i am a member of Cannons which has, i feel better facilities, it has a pool which the two fitness first ones dont.
Take a look at
www.cannons.co.uk
and for fitness first:-
http://www.fitness-first-health-club.co.uk/
In Marlborough itself there is a sports centre which has a pool and, i believe a gym, where you can pay per session which may suit you more.
If you want anymore info let me know and i can try and find out for you.
Tracy