As readers may well know, I play capoeira, and have done for nearly four years. Before that I did Chinese martial arts (some different styles of kung fu and tai chi) for around seven years, with a break in between the two where I ran a lot. Through that time I've noticed people coming and going, and these are my top tips if you've been contemplating taking up some new kind of exercise, be it going to the gym by yourself, a fitness class, or something like capoeira, but haven't quite made that first step.
1. See a doctor: Seriously. If you don't really do much exercise at all, this is a sensible step to take. It'd be a shame to injure yourself when you're actually out to improve yourself.
2. Just do it: The most important thing. Actually go. I've been wearing capoeira/marathon/kung fu t shirts out and about and had people say they'd be thinking about doing, but hadn't. Sometimes it's for reasons like "Capoeira looks really cool, but I've got no coordination or flexibility" or "I'd love to run a marathon, but I can't even run for the bus". If that's your reason - don't worry. Taking up your new activity will allow you to do those things in time. In 2006 I ran my first marathon, and my second, third and fourth. This was deliberately a big challenge, but I planned my training, starting small and building it up. In 2009 I ran the Chicago marathon. My training started with a 4ish mile run, which was my first in literally years, and that 4 run was hard going. At the end I thought "Crumbs, I've got to do over five times that!". In the end, I got a PB (3:54:47). I couldn't do handstands before capoeira, but now I can walk on my hands. These things all take time. But they're worth it!
3. Don't worry about other people. I've seen people stop doing activities because they find the more advanced students intimidating, and worry about not being able to do things first go. Don't be! If you could do things first go, then you'd just need a You Tube tutorial and teachers would be redundant. Don't be scared by the advanced students/people in the gym who've obviously got experience. Everyone started off as a beginner. Some people I've met have worried about going to the gym, saying things like "what will everyone else there think of me?". Chances are, they'll be absorbed in their own workouts and won't even notice.
4. Enjoy that it's hard going. Some people don't really get going because, having taken up their new exercise, they hurt and ache the next day (this is especially true of capoeira I've found), and so stop. This hurt is a good thing - working new muscles is going to cause them to ache the next day, and it's a sign you're already starting to get fitter (with the obvious caveat of watching out for injury - don't train too much too soon!). These aches won't last, and the more you train, the less this will happen. But you need to stick with your activity for this to stop.
5. Track your progress. Improvements can sometimes be obvious - being able to climb more stairs without getting out of breath, or being able to run for that bus. But others can be quite gradual, so it can be hard to actually spot your improvement. Tracking progress can help you see how far you've come, and help your motivation. I've used Nike+ for running, and use Fitocracy now, but I've heard good things about Endomondo, and there are other options out there too.
That's just my experience though - file it under anecdata, but there it is. Hope it helps : )