The first thing you should know, is the purpose behind why you are in the gym in the first place.  Is it to lose weight?  Is it to make your body sculpted (to impress the opposite sex)?  To give you more energy?  Is it to stretch out your muscles and joints in order to minimize the pains of growing older?  

There are different ways to exercise.  There's cardio-vascular exercises for energy and weight loss, and there's weight training which can be used for building strength (heavy weights, few repetitions), body sculpting (medium weights, many repetitons), muscular endurance (light weights, continuous movement).  There are movements which stretch muscles and joints (range of motion goes to the body limits) and there are power movements which may be in a narrow range of motion (like half squats with a heavy weight).  

And there are different muscle groups on which to focus.  For example, you might focus on abdominals, lower back, and hips if you have problems with your lower back.