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If you don't have a gym to go to your best bet will probably be free weights.
The problem with free weights is that you have to know what you're doing. It's pretty easy to do exercises with free weights and end up doing them wrong so that you don't get the workout you wanted. If you get something with a intro book or something like that make sure to use it.
As far as small gyms, I would reccomend listening to someone that's used them. There are alot of options out there but alot of them are crap. Some of them are really good and make a good option since they can be easier to set up and allow for a faster workout.
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My life is one of those 'you had to be there' jokes.
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