Galyan's (now Dick's sports) used to have rock climbing walls in its stores. Might be a good source for beginner stuff.

A/ Find a rock
B/ Climb it
Not rocket science is it ?

Only bother with indoor climbing if there is no outdoor climbing at all in your area. To find out if there is climbing in your area (you may be surprised), contact your local Alpine club section (I'm not sure what it's called in the US, in Canada it's the Alpine Club of Canada, so you could ask them who their counterpart in the States is). For a very reasonable fee they provide gear, training, and supervision, and organize outings. It's a great place to meet people to climb with once you are ready to venture out on your own (and the club will rent you gear too). MUCH cheaper than hiring a guide for a day, to drag you up a cliff and not teach you anything. Also much cheaper and way more fun than a years membership at a climbing gym.

Go to the local store that has climbing gear, and pick (or flip through) a copy of the guidebook for your area, that will give you an idea of the calibre of climbs you have arond you. I would say, if there are even any 12-15m "routes", it's way better than indoors.

If you have to climb indoors, you will have to pay for lessons, so bite the bullet. If you like it, buy your own shoes, harness and chalk bag because you'll save money in the long run. From there, try to hook up with other climbers or an Alpine club event to go on a climbing trip outdoors. I can't stress the virtues of outdoor climbing enough!!

If you're keen, you should really get a comprehensive technical book on climbing, such as Freedom of the Hills. You could borrow it from the library to see what you think. But, you should still have someone experienced to take you out your first few times, once you have read and understood the sections on "anchors" and "toproping".

Have fun, and try ice climbing if you get the chance. Any questions, you can email me. Cheers.