The immediate affect of exercise on your BG depends on the type of exercise, how long you do it for, how fit you are, what your BG is to start and how much insulin you have "on board.
For example, resistance training, like weights, typically raises BG.
Cardio training for a "reasonable length of time", such as running on the treadmill for 30 minutes will reduce BG.
If you are not used to an exercise, it is more likely to affect your BG. For example, if exercise for you is walking out of the house to your car on the drive, a 15 minute walk to the shops is likely to have a bigger impact on you than someone who runs marathons.
If you start exercising with a high BG, you may find it harder going and this stress may raise your BG.
Finally, exercise makes your insulin more effective/absorb quicker. Therefore, if you exercise an hour after eating (and taking your insulin), your BG is likely to fall quicker than if you exercised 4 hours since your last insulin dose.
And then ... you have the medium term affect for the next 24 to 48 hours: your liver is likely to dump more glucose than usual whilst exercising so afterwards, it will need to build up the reserves again. As a result, you may have less glucose dripping from your liver (needing less basal insulin) for the next 24 - 48 hours.
And then ... there is the long term affects: regular exercise is great. All the health benefits you get from exercising without diabetes are gained from exercising with diabetes.
For someone with diabetes going to the gym first time, this may all sound a bit daunting. As
@Juicyj suggests, it will take some trial and error but it is worth it. Personally, I feel grumpy if I miss my gym/walking/climbing/cycling for a couple of days.