I'd have to agree with SS, with gyms here it could be hit-or-miss so you'd want to actually check them out and get a trial before you commit.
I used Fitness First in Singapore and loved it there, but the HK gym just seemed less professional - as SS stated, they refused to let me speak to a trainer until I signed up. I heard enough horror stories about California Fitness, so avoided that. Seasons was a bit inconvenient for me on the weekends, so I settled on Pure Soho and have no complaints. I got a corporate deal, so I'm actually paying less than some of my friends at Seasons and California Fitness.
One suggestion I have is that if you know you're going to be in HK for atleast 2 years, sign up for the 2 year package. It's significantly cheaper than the 1 year package.