Some are taxed and some aren't depending on whether or not they are "sports oriented...those with a pool escape the tax.
Paterson proposed that ALL clubs be taxed but I don;t know whether that bird flew or not.
New York Governor Proposes Health Club Tax
I too was mightily pissed back in NJ when they glued a 7% tax onto my already high gym cost.
(I don't think I'm paying a tax now at NYSC, maybe beccasue they have a pool?)