I don't do well in gyms at all. I can't think of anything less enjoyable. I do, however, like exercise outdoors. I run four days a week, and I walk on at least one day, sometimes 2. I don't bother with an iPod (although I do have one). It's my meditation time, and I find peace and solace in the rhythm of my breathing and footfalls. I don't attend a brick-and-mortar church--my sanctuary is a quiet blacktop path through the woods in my town. God and I have some really good conversations out there, and I feel it is my duty to take care of and USE the amazing body he designed for us.
If you find an activity that brings you joy in just the simple act of being alive and human, you will not have difficulty sticking with it. Walking, running, cycling, hiking, swimming--our bodies can do SO MUCH. If the gym doesn't work for you, go outside and try something else. This is coming from a once-upon-a-time couch potato. I'm still a work in progress, but I'm getting to a point where running is just one of those things I do every day, like eating dinner or having my morning coffee.
I could go on and on with this subject (and I still might ;)) but that's how I do it. I've found the thing that brings my soul to life.