Donna, just make sure that you pick an activity that you will like! Gyms often have alot of different group activities like Yoga and there's bound to be something you will really like. There's nothing worse than trying to get fit by doing an activity that you hate. When I was running I also noticed a lot of others running but they were running in inappropriate shoes and I'm sure after a few runs in crappy runners they swore off running forever. so make sure whatever you do that you put out the money to be properly attired. Remember, the gyms make their money off all the New Years resolution folk who sign up, come once or twice then stop coming but keep paying every month. Good luck with it, as physical exercise is one of the keys to beating depression and anxiety. So it would certainly be a great place to start.
