First name that comes to mind is Fitness first at City Center mall (and opening soon at Villagio I believe), ....around 5000-6000 QRS for a one year membership, depending on whatever offers they may have.

Al Massa active, near Ramada hotel, costs around 4000 QRS for one year...they don't have steam rooms and such though

Three other names are Energie fitness, Hard bodies club, and Fereej gym don't know about their rates, as they've just opened. I can make some enquiries if you like.

You could always go to the fitness clubs at the hotels, more fancy facilities, but no doubt pricier.