Whoever said that the journey of a thousand miles begins with a single step (I'm paraphrasing and it was 老子 [Lao Tzu]) said a very correct mouthful - and a very full one when it comes to diet and exercise.
Practically though, we're not all naturally athletic or even physically active, for that matter. The sad fact is, a lot of journeys to physical fitness and wellbeing are derailed before they begin simply because there is no hard or fast rules on where to start. My suggestion: start with being yourself.
No, I don't mean putting your pyjamas back on and replanting yourself on the recliner. I mean look at your personality, your interests and hobbies. From there, you can find any number of ways to get active. Here are my top few examples:
The Music Connoisseur. Of course, I'm gonna suggest a dance class! Zumba, salsa, rumba, bachata, ballet, hip hop, burlesque... the list continues and the classes usually speak for themselves. Regardless of the genre you enjoy the most, there will be a class for you.
The Type A. You need to dispel the aggression and tension that fuels your personality. What better way to do that than with boxing, karate, Brazilian jiu-jitsu, Muay Thai or mixed martial arts? The balance between high impact, full-contact sport and the need for discipline may be just what you need.
The Beach Bum. While swimming is an obvious choice (well the water's right there), cardio and calisthenics would also suit you well. The resistance naturally provided by the sand is a great tool for getting the heart rate up and working on balance and stability.
The Philosophy Lover. I hate to break it to you, but pretty much anything involving walking or climbing might be your ticket. Looking for the answers to life's big ironies? Get yourself to the top of a climbing wall or work your way across a climbing. Fascinated by the wonders of the world? Find a good trail and start hiking. Just make sure you've stretched well and have got on the right shoes!
What about you? What does your personality tell you about your ideal workout?