I can totally sympathize with the original poster and anyone else who doesn't feel comfortable at the gym. Even when I did have a gym I was comfortable with I found alot of excuses to not go and finally figured out I was just wasting my money. So, for me personally, I decided to be honest with myself and realize now matter what my intentions where, the gym at this point was not for me. I found that was better than setting myself up to fail and then beating myself up after.
My advice is to buy a stationary bike and start out with that at home and make sure to listen to some music with a good beat while you do it. What's great about that is you can usually find them used and for alot less money than a treadmill. I have a treadmill now but my husband insisted I didn't need both and I let him convince me to get rid of the bike. I regret it now because I'm starting back up my exercise program and the bike is alot easier on larger people like me. Especially considering I injured my leg and knee in a car accident some time back and on days it hurts too much to walk I could still get on the bike. I also like the fact that on the bike you can close your eyes while you listen to music...try that on the treadmill and you fly right off, lol. Don't get me wrong, I love my treadmill, but I miss having both and as soon as we move in a few weeks I think I'll get another one

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So that's my two cents worth. If you don't feel comfortable at the gym then find some used exercise equipment or try aerobic tapes at home, whatever works. Richard Simmons still seems to be the only one with tapes that have modification for large people but I don't mind those and they don't cost alot starting out. It's still a decision to do it but the great thing about exercising at home is the privacy and also not having to actually waste time dressing decent and driving somewhere when you're busy. I also like that I can do 15 minutes and quit when my leg starts hurting and come back later and do another 15 later on in the day.