Have you been working out for at least 3-6 months? (Any kind, not just gym?)
If the answer to that is "no", then start slowly, and make few purchases.
- Get a mat (like a yoga mat). There are tons of uses for a mat. The mat may get old and smelly, but they are very useful.
- Get an adjustable set of dumbbells. DO NOT SPEND A TON OF MONEY. This will probably run $40ish USD.
Some people like elastic straps instead of dumbbells. I like the iron, not the straps.
After 3-6 months, if you've judged that your commitment level is high, then start to add components to your home gym. This may include:
- A workout bench. These come in many styles.
- You will also need a bar (normal or Olympic - the olympic bar weighs ~40lbs w/o weights on it, so factor that into your choice).
A good workout bench will have an attachment (optional or not) for lat pulldown type motions. This is very handy if you are overweight but strong - i.e. where doing 2 pullups is hard. A flat bench is useful to have as well, but I would get a bench mostly designed for benching first. Once you can do pullups, a door-frame pull up bar, or even an entire cage, is an option.
After that, the sky's the limit! There is a lot of fun equipment to buy and use, if you so wish.
Again, start slow. I've seen tons of people spend a lot of money all at once, and then stop using the equipment in two weeks. I've had my benches and weights for 5 years now, slowly building up my equipment over two years. I also have a bike trainer, for those sad winter months where biking outside is not an option. Overall, I've spent less on equipment in my lifetime than my coworkers do in about 4 months of their gym memberships (I'm around Boston, and my coworkers go to expensive gyms ;-) )