The same kind of self-consciousness motivated me to build a gym in my garage. If that's an option and you have the space, go for it. I built a power rack using the plans from home gym bodybuilding[1], got a Burgener & Rippetoe Olympic Bar from Rogue Fitness[2], and weights from Play it Again Sports. I read SS for detailed tips on form, and started on Stronglifts 5x5, which has a really handy app to track your progress. The total cost of the gym was probably in the neighborhood of $500, though you could get it done for much less if you went with a cheaper or second-hand bar -- that was the highest-cost item.
That's incredible! I might have to try building that sometime. I love the idea of walking out to my backyard with my shirt off and doing a bunch of squats in the sun! Plus I would never have to wait on people doing curls in the squat rack ;)
[1]http://www.home-gym-bodybuilding.com/homemade-power-rack.htm...
[2]http://www.roguefitness.com/burgener-rippetoe-men-s-bar.php