I get so bored in a gym so I would never buy a membership either...my primary activities for staying in shape are:
Cycling, Mountain Biking, Trail Running with the dogs, Geocaching (www.geocaching.com good hiking sometimes and gives you a goal for motivation...Ill wear my backpacking pack for training a lot on hikes too)...
As far as being in shape for rock climbing...anybody can rock climb. We cant all climb 5.12s....but it is amazing how easy it can be to get out and climb. Its 103% mental. I was (and still am) a scrawny cyclist (6'1" and a 145lbs...no upper body strength at all), and can climb up to 5.10a~b. Its all in technique. I dont even really care about the grade, the most fun routes to me are the 5.6, 5.7s where I can easily climb them and still get a decent workout. As far as where to start with rock climbing....find someone with a bit of experience to show you the basics. All you need initially is a harness and shoes, and go from there...so initial cost is around $100. Ill be moving to Boise next weekend so depending on where you are at I would be willing to take you out to the rocks some time and show you the basics. Its a great and addicting sport.