A long time ago I did a few classes. Like Missy said, You need A LOT of core strength!
I have a sort of mini gym in my basement. We have a high end elliptical, (which was my husbands choice, but just me uses it!), Nordic track (which I don't use anymore), small set of weights, step, "The Firm" regular and the wave - which I love! and I have several yoga CDs (classes are better, but this is cheaper and convenient).
I am a believer in doing something - anything! Walking is great, cheap, and you can do it almost anywhere! Malls even open early for walkers!
Hope you enjoy the pilates.