I'm going to tell my boyfriend I never want to go to the gym with him ever again.
Why don't you want to go to the gym with him?
I joined a gym in the neighborhood, but I can't stand going.
You shouldn't tell your boyfriend that you'll never go to the gym with him, he probably enjoys when the two of you go together. Try to find a new gym that you both like to go to together.
That's too much work. I just don't want to go anymore.
You are not required to go to the gym if you don't like it. But the way your first described it makes it sound like you dislike the boyfriend instead of the gym. Be kind when you tell him you don't want to go anymore.