I do the mat series, but I would do the reformer, too, if I could afford it right now. But I can't and that's okay because the mat series is quite comprehensive. I'm just a little apprehensive about all-around clubs offering Pilates. In my experience, those "pilates" classes at gyms have been downright dangerous. But you should check into it.

Seriously, I'd do Pilates over weights if I had to choose. But be sure it's good Pilates.