Spinning can be great exercise! The key is finding a good instructor. You want someone who is willing to take some time to show you the bike, what a good position is for you, and who helps you either find a beginner class or modifies a regular class so you can adapt it to your level.
The two best pieces of advice I got when I started were get bike shorts (they have padding where you're going to need it) and when you are thinking mostly about how sore your rear is and not about the spinning, it's time to end the session and come back in two days. Seriously - at first your behind will be sore, and I found that as time went on it didn't hurt, but it takes a while. You don't want to get to the point of being too sore to keep it up, so take it slowly at first.
Good luck, and remember that most gyms will let you try a week or two for free before signing up for a membership. Take advantage (but buy those bike shorts first - you can usually find some on sale at Dick's Sporting Goods or Sports Authority!).