I'm thinking in the city, specifically but if there are good ones in the suburbs, please share!
I've heard amazing things about Bubbles Academy, Old Town School of Music and Merry Music Makers.
I've been to Gymboree and it was ok. I think you really get what you pay for!
Re: What's your favorite class to attend with baby?
When DD was 4-6 months old, we went to a trial class at Bubbles. I liked the facility and the class was good, but I thought it was a bit overpriced. The activities are pretty much the same as at Gymboree (although the music is a little more interesting).
I highly recommend the swim classes at Galter. It's the only location with a heated pool, you can start at 6 months.
DD goes to Musical Magic on Roscoe and loves it!