I took Pilates from a friend (it was actually called a "mat class," if she were to call it "Pilates" it would be even more expensive!). I stopped because it was getting too costly. However, if you belong to a gym or the Y, see if they offer classes (also look for "mat" classes). I really think that in the beginning at least, it helps to learn the basics, particularly the breathing, from a "real" in-person instructor.
Now that I have learned the basics, I picked up a set of tapes that has an AM workout, and PM workout, both only 25 minutes long. I really enjoyed Pilates, you can do it at home, and it's challenging. I really started to feel the benefits when I was doing it.