At the gym or with a private studio? I normally do gym but this month started going to a private studio and I love it! It's more intense and definitely more pro. But there's pros to both.
I trained to be a certified instructor in the Stott Method. I loved the one-on-one instructor training. I also loved working with clients one-on-one. You can really dial in to the subtleties of the whole dicipline.
If you can afford it, going to a dedicated Pilates studio for private lessons is the best way to start. Learning the proper form will help you to transition into group classes. Beleive it or not, the mat classes are considered the ultimate workout because there is no machine to assist you (although, if you have an regular instructor, they can set the machines up to make your workout more difficult as well). But it is a lot easier to slack off or slip into poor form in a group class. If you get discipline to start with, however, you can make the most of any workout. Good luck and glad to hear you are enjoying your studio experience!