This is a tough one. Go to the gym and be nice and explain the situation. If they put up a fight simply tell them that you're going to write a letter to the commissioner of banking (and insurance) for your state. My guess is that after you let them know that they are taking your money without your authorization (word it like that) they will give you your money back. Also, if you never stepped foot in the place for many many months that will help your case - as long as you don't have a contract with them. If you have a contract for say a year, and you are in months 8-10 (of 12) and you never step foot in the place you might have a hard time unless you've sent them some kind of document stating your desire to leave the gym (dirty, etc.).

Good luck.

Pete