I LOVE Pilates. I try to do a Stott Pilates DVD at least once a week, and/or whenever I just can't motivate to do an intense workout.
Just if you have any injuries or issues, be sure your instructor is well-trained.
About.com has a (non-exclusive) list of major Pilates instructor training programs. There are a lot of "fly-by-night" sort of certifications, and similar to yoga, the cost and time commitment involved in truly learning to teach the Pilates method is so great that very few gym-based instructors are really competent. Healthy people who already have a basic "working knowledge" of their bodies can definitely benefit from gym classes, and/or from books or DVDs. But a well-trained instructor can offer so much more to anyone, and IMO is a necessity to someone starting out with an injury or back trouble, or who simply isn't an experienced exerciser.
Lest anyone think I'm dissing their program without good reason, I
have one of those weekend certifications, and I sometimes get called on to sub as a Pilates instructor at my gym. I aced my "certification" exam, but I'm not qualified, and neither is any of our regular instructors. None of us at my gym knows how to analyze a student's movements, identify imbalances or prescribe modifications for someone who doesn't already know they need them.