You can google or search on yelp "gym class/swimming class/etc" and then your area. There are some sponsored by the city and will be less expensive than the little gym or gymboree.
We used to take my girl to the gym class from city of Sunnyvale and it's about $14 per lesson vs $20 at little gym.
They offer a variety of classes too, we've taken music & dance class, a preschool type of class on the weekend.