I did a spin class at the gym once or twice a week during this past winter. It was a great workout. A lot of it depends on the instrctor and how motivated you are, but if you are working hard it can be every bit as tough as a good ride on the road.
I did wear my mountain biking shoes for the reason that SteelBlue mentioned. There were about 3 or 4 of us that did out of the 25 people in the class. They basically help smooth out your pedal stroke. They are also a little stiffer than regular running shoes, so you should have less chance of getting numb foot if you do a longer class. If you are going to get serious about it, I would recommend it.
Might I also suggest a pair of cycling shorts. To be worn under your gym shorts, of course.
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