There's the Seven Islands Leisure Centre near Canada Water. The pool has been closed for a couple of months because of boiler problems and asbestos in the boiler room but it's due to re-open in a few weeks time.
Fitness first might be cheap but the staff is useless. You want advice, there is noone unless you pay extra. It is good if you want to use the gym worldwide. Fitness first in Paris and Germany are really nice and the staff is much friendlier!