I run outside.
There is just something so strangely clinical to me about running on a threadmill in a gym. There you are running on a machine facing forwards and not actually moving anywhere beside many other people facing the same way who are also not actually moving anywhere! Nobody makes eye contact or interacts with their fellow runners. I just find the whole situation pretty amusing and also slightly soul-destroying.
I live in a rural area and vary the location of my runs in order to keep me interested. In a single run I cross gorgeous rivers, see fabulous wildlife and breathe in fresh air. It's so invigorating to run without a display in front of you counting down the minutes you have left. This kind of running is not a chore. What's more, the uneven terrain and soft ground is fabulous for toning legs and a lot easier on joints.
Each to his own. I can appreciate the value of having gyms in urban areas but no one will ever come between me and my outdoor runs.