I did some of the Mommy and Me classes with DD but now that I have DS and has his big sister and all the other kids in our lives I don't do them with him.
With DD we did Kindermusik, water exercise (for me but with baby), swimming (that was a waste as a SAHM IMO). We also did a tumbling/gymnastics class through the city that was actually pretty fun. Our city parks and rec has a pretty great catalog of offerings. In fact I was up at 5:30 logged into the website in order to get the swimming class I wanted for DD recently. They fill up VERY fast.