I've been to some mma classes, (although it was basically bjj/wrestling and muay thai)a friend of mine from school and his brother started up in a thai boxing gym as they were both mma fighters who fought in various British events.
It's probably the most tiring thing i've ever done, but I really enjoyed it. I'd been watching mma for 7 years before, so I had a good idea of what to do, well... sort of.
I'd really recommend it, I love watching the big shows, Pride & UFC, some of the smaller ones are good too (WEC, KOTC, Cage Rage, Shooto). It's an amazing thing to see how much it's evolved in the years i've been watching.