I've struggled with this one but for now I think the gym is still the best option I have until I can make plans to do something better. I get a pretty steep discount from the health insurance, it's downstairs from my office, and it has a swimming pool that's clean and I can take the kids there to learn how to swim. I can't find another good solution for the family to stay in shape.
However, if I take the budget that this blog posted, say R10k for a fully equipped basement setup, versus the R350 that we currently pay, it's a little over 2 years to see the cost saving and from then on you have an ideal setup, so I totally get it.