I've not seen this submitted already so thought I'd share here, there is a new gym chain called The Gym Group, they offer membership from £9.99 a month (prior to opening), rising to £14.99 a month for members joining after they've opened, if you join early enough you can also avoid the £20 joining fee. There is no contract, you can cancel at anytime simply by cancelling your direct debit.
The following gyms are already open: (£14.99 per month + £20 joining fee)
These gyms open Summer 2010: (Join now and lock in at £9.99 a month and no joining fee)
The gyms offer no frills, i.e. no pool, sauna, steam room, however the are large with brand new equipment and open 24 / 7! You can sign up online, you'll be given a pin number which you use to enter and exit the gym.
Obviously not for everyone, but I hope some of you find this useful.
Edit June 2010 - List of gyms updated.