You may say my opinion is biased because I manage a health club, but joining one is the best and safest way to begin an exercise program. The availability of a knowledgeable and educated staff will go a long way in making your exercise experience a positive one. In addition, the social atmosphere alone is very motivating and encouraging for most people.
Don't believe the myth that health clubs are full of people who are young and in great shape. The truth is they are filled with people just like you, ranging in age from teenagers to those in their 90s. Everybody is there to get in shape, not to pick on you.