I've been going to the gym this winter when it's too wet to ride. I've been liking the elliptical trainer + weights.
I avoid the stationary bikes because I figure that's just re-using the same joints/muscles that my bike uses, and the elliptical trainer gives me a good workout yet seems smoother/easier on the joints than a treadmill. We also have a cheap elliptical trainer at home that does the same thing.
BTW, I am liking the weight lifting quite a bit. I was having some neck pain/shoulder pain last Fall when riding my bike and the weight lifting appears to have given me some extra strength and flexiblity around my neck/shoulders that has helped quite a bit. I now have some cheapie dumbbells at home and I try to do some light dumbell work on my shoulders/neck almost every night in front of the TV.