As GK pointed out, there are many reasons and many styles... more information would be helpful, but in the interim I'm happy to recommend one.
Sifu Wan Kei Ho
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Sifu Wan teaches traditional Chinese martial arts (Northern Shaolin & Choy Li Fut), in addition to Tai Chi. This is not a 'sport' or 'fight' oriented, but rather strikes a balance between practical application, tradition and culture. Choy Li Fut, in particular, is a style with a lot of history in Hong Kong and you will get a lot of local/cultural exposure here. I've had the pleasure of attending large martial arts dinners, local tournaments and many other events that I otherwise would never have seen (or known about!) as a foreigner. His English is quite good, and he has many, many students who are not local (perhaps 50%). He is always happy to have someone in for a demo class (Monday & Thursday, 7:00pm), as well as private training sessions. Grounp glasses are usually quite small (4-6 persons) and private classes are, well, private. His studio is in Sheung Wan. Students vary in age, which is to say that it is a comfortable environment for a variety of abilities, ages and fitness levels.
However, if you are going for a strictly fitness angle, you would do well to check out any of the Muay Thai / Boxing studios in SoHo / Central. Great for whipping you into shape, but not really my thing.
Hope that helps. Cheers,
JP