The gym is inherently evil.
I say this as a frequent gym-goer and membership-payer. I say this as someone who will continue to be both of those things at least until the next time I move. Still, the gym is just evil.
My reasoning may be very different than you are expecting. It's not that I hate exercise or that the gym makes me feel crappy about myself. Actually, every time I leave the gym I feel at least relatively accomplished, which should make it a good experience.
2 main reasons why the gym is evil and is, therefore, not a good experience: the machines and the TVs.
Before I go into those, I should insert a disclaimer. I pay only $10 per month and paid $1 to join. That means that I've spent about $61 so far getting back into shape, sitting in A/C and watching cable, all of which are obviously important and worthy expenditures.
Even so, no matter how little or how much I pay, the gym remains an indoor activity where I spend approximately an hour on my own road to nowhere. I know that the whole "running and going nowhere" and "ellipticals are for weenies" thing is totally overdone, but really. It's true. And I use the elliptical almost every day. (sidenote: I am a weenie)
More importantly, the TV situation was the bane of my existence today. Every once in a while I come across a TV that temporarily isn't working. But today I came into contact with not one, not two, but THREE TVs that were out to ruin my workout. Is it too much to ask to make sure that the channels change? There was no way that I was going to be stuck watching Reba for 3 minutes, let alone 30. (You may say "Hey, don't watch!" But let me tell you how this nightmare ends -- the TV wouldn't turn off! And asking someone to look away from a sitcom is like asking someone in advance not to slow down and look at the terrible accident on their left while their driving on the highway!) And can't the sound just work? What is the point of watching America's Next Top Model on the bike if you can't even hear what Tyra is saying? Well let me tell you...there isn't one!
Point is, I pay good (cough) money to go to the gym and watch TV while I lazily pedal away. And today, that privilege was revoked. And I will never forget that burn.