You lose more weight with a treadmill, but if I were you I'd go to a gym (see if there is a walk-in one near you where you pay per time instead of annually) because some people really don't get along with treadmills. I prefer cross-trainers, because I simply cannot run in a straight line! So it might be worth trying lots of different things out before you fork out the cash.
Or you could buy a Wii Fit, my parents got one today so I've been playing on it, it tells you your BMI and says if you are a healthy weight or not, and it allows you to set targets. Plus it's quite fun, and I've heard a lot of stories where people lose loads of weight.
