I love Pilates. It makes your body very tonned and strong. It also really improves your posture.
You really must take a class, don't follow a DVD. There is proper breathing and posture's that you need to be taught by a certified teacher. I also think that the best classes are when you use a reformer (the pilates machine).
Mat classes are good also, but I really love using the reformer. After some classes, I guess you could follow a DVD if you wanted.
If you are already quite lean, then you will notice results very quickly. I think people seem to really notice results around the mid sections, especially at first.
I have been doing Pilates for about 8 years. (As a dancer, it was/is a requirement). At the moment I go to 3 classes per week. They combined mat work and the reformer. I also do a lot of yoga, and find that it helps me there as well.