There are some parts of winter where it is almost impossible to ride due to ice/snow. However, if it is just cold or rainy, I still prefer to just go outside and ride. I can do so pretty comfortably for all temperatures down to and just below the freezing point. Just make sure you have the right gear. This is important. Without the right gear, a fun training ride can turn into hell when the weather conditions are bad.
Gyms are just too expensive in my opinion. I have joined a gym last year to do some spinning and general exercise, but I still ended up going outside to do my exercise. Turns out I would still rather go jogging than sit inside some sweaty room in a gym. But to each their own. Spinning classes are alright though. I quite enjoyed them, which surprised me.