ZachtheAlmostJock saidI'm not a fan of the gym. Plus, at home, I get to go at my own pace.
You can go at your own pace at a gym, unless you participate in a class. I like to go when the gym is less crowded so the waiting time to use equipment is minimal to none. I like to go at my own pace, too. You might meet somebody at the gym; but the chance of meeting someone while you exercise at home is nearly impossible (unless you invite someone to join you). Don't like the music at the gym? Take an iPod/walkman/whatever. The gym has plenty of dumbbells and barbells and probably Kettleballs, plus many gyms have nautilus or nautilus-type machines which protect you from most injuries. Also, there is usually a lot of expertise available from trainers and/or other members. And if you exercise at home, you’ll be without a spotter; if you injure yourself, there will be nobody to help you.
Down side of the gym: it cost money; danger of theft (don't put your wallet or other valuables in your locker); less privacy in locker rooms, showers, saunas, steam rooms (although this could be a benefit to some); danger of theft (don't put your wallet or other valuables in your locker); danger of being thrown out for unacceptable behavior (a gym is not the baths).
As with any exercise program, see a doctor if you think you have any medical problems which may interfere with your workout.
Do some warm up exercises before lifting weights, and do some warm down exercises after lifting. Don't try to set a world's record the first time you try lifting, injuries are more likely to occur during one's first work out session or when returning to weight lifting after a long break.
Decide what your exercise goal is: if it is to build muscle mass, "go to failure," that is, you should not be able to finish a set of your maximum weight even though you put all of your energy into it. If you do finish the set, put more weight on next time. "No pain, no gain." I'll say it again, to prevent injury, start slowly and gradually increase that amount of weight you lift.
If you goal is weight reduction, you strategy for lifting should be increased reps instead of increased weight, plus cardio(vascular) exercise such as a treadmill or stationary bike (brisk walking is also excellent).
Whatever goal you set, your diet may be as important as exercise. You won’t lose weight if you consume more calories than the calories you burn. You won’t gain weight unless you eat more of the right foods.
Some gyms will give you one free personal training session, make use of it.
If money is no problem, consider hiring a personal trainer (PT) for every workout you do. A PT will help you to do exercises correctly, will spot you and will help motivate you and push you to achieve your optimal fitness level (plus they are usually hot). Can’t afford one? Attach the image of a Real Jock member whose physique you would like to have onto your refrigerator. This is especially effective for weight loss.