Muay Thai is awesome. Nothing beats getting shin-kicked in the face. Also, fighting is possibly the most intense kind of exercise there is.
If you just want to do something without joining a club or DON'T want to be kicked in the face, try sprinting.
"Sprinting is tough. In fact it's so tough, most people fear doing it. Which is exactly why I recommend it." One of my favourite quotes about exercise ever.
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