I know of two in
Neuhausen (pablo, yours are in Haidhausen!)
you have the FitPlus at Donnersbergerbrücke, which is very nice with cardio, classes etc but a bit expensive
you also have the Kieser training place in Lothstr, which I think just has the machines, no aerobics or anything. but it's a lot cheaper than fit plus.
If you're into racket sports as well, you might think about the RSC up at Hirschgarten, which nearly classes as Neuhausen, I suppose. They have classes (aerobics, spinning) and stuff there, and tons of squash/badminton courts.
Be aware that once you sign up you're stuck with membership for a year. So see if you can get some free sessions so you can try out the place before you commit yourself.
Topsy