treadmill vs. gym

I'm at the point of my continuously expanding body that I've got to make a decision on how to take back control. Right now I'm torn between joining a gym or buying a treadmill to use at home.

Here are my thoughts on both options:

Joining a gym
Pros:
* Lots of different workout options
* Trained professionals to tell me what I'm doing right/wrong
* Motivation of all the other people around me who are in better shape than I am

Cons:
* There are very few gyms in Chattanooga (shocking). So, not a lot of options.
* Monthy rates are so high for my tiny budget (isn't $70 a month a lot for your basic gym, including the YMCA?!?)
* My self-consciousness could get in the way of getting the best workout possible. (I know, I really need to get over myself)

Buying a treadmill
Pros:
* Working out at home would be so much better in so many different ways
* The machine would be mine
* In the long run, the cost is less than a gym membership
* I could work out any time of the day - whenever I feel like it without having to get in my car and drive across town
* Working out late at night when I get off work would be possible, whereas the gym would be closed

Cons:
* Only one machine instead of all the options the gym has

OK, so I know you all have opinions of your own. I want to hear them! What would you do if you were me (remember, I'm on a tight budget). Any advice?