I recommend JWT Kids Gym -- from 6 months. Our son had his first birthday party and it was an absolute dream. All kids aged 3 mos - 11 years had a blast (at least those who could talk said so.) I took my son to the squeakers class and I have to say we got a lot out of it. The instructors are friendly and professional and the gym have got daily one hour 'open gym' sessions which allows you access to all its facilities for $70 (member price.) Having said that, we haven't tried any other gym so do shop around.
What I do recommend to high heaven is baby buddies (sheung wan/tin hau/tuen mun) for babies 3 mos. + They are not a baby gym but more like pre pre school. My baby has really benefited from our weekly 2 hr session broken down into structured and unstructured play/activities like music, texture play (free play with some jelly, shaving foam etc.) arts and crafts, story time and circle time with LOTS of free play (30 mins at the beginning, 30 minutes after snack break ). We started at 8 months so although they accept babs of 3 mos. I would recommend waiting a little.