How expensive is expensive when talking about gym?

I'm changing gyms at the end of the month for a more expensive one (40€ per month for a year), and I'm not really sure I should.
I mean there are a lot of activities + swimming pools + personal coachs + at least 20 different clubs in my city I can go to.

Should I do it or not? Are gym clubs usually that expensive?
Do it, 40€ is not that expensive
Don't do it, I wouldn't pay that much
Other?
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How expensive is expensive when talking about gym?
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