There's been a lot of advice here, some I'll agree with some I won't. Slowly building endurance is your best bet. But there are also things that can and should do outside of the gym that will train you and build your endurance even when you are not "training".
Quickest and easiest example I give people is your trip to the grocery store, the mall, where ever you happen to be going. Stop trying to find the closest spot to the store. Look instead for a spot a long ways away from the store then make your walk up to the store and on your way back to the car a brisk paced walk. Have a basketball court anywhere near you? Just pick up a Ball and go shoot some hoops sometimes. You don't have to get crazy with it, just have fun with it. The more you make things be "work" the less likely you are to stick with them. And my personal favorite: Go swimming.
But the big key is, don't make your workout your only form of exercise, and have fun with it. You'll get more out of it, you'll have more fun, and you are a lot more likely to stick with it.
Also, for weight training, stay away from the weight machines. Stick with free weights. They are a much better exercise and give you a lot more benefit.
For those who think they can't make it to a gym but would love to work out, may I suggest checking out a kettle bell. Secret of the Russian strong men and best single piece home gym I've ever found. Hit youtube for an example or twelve.
Also a [strike:1f3u92eq]good[/strike:1f3u92eq] great source for tips and exercise (and diet) comes from the Men's Health monthly magazine. Also a good thing to check out.