The ones that say 'smell a plant and your baby will become a genius!' and charge £7 a session are a waste of time, for a start.
My rule of thumb is that if a children's centre or library is doing it for free or a very nominal charge (having trained their own staff, as opposed to someone renting space from them), it is probably worth doing. I did lots of classes while on maternity leave with DS and that rule worked every time.
Also have a look at what stage your baby is at: pre-sitting babies will love the closeness of baby massage, for example.
The ones I would recommend are baby massage, Bookstart Time for a Rhyme from 3 months onwards (library, free), Rhythm Kids from 4 months to crawling, a mum and baby swimming class from 6 months and a stay & play session once they can get around by themselves.
Really small babies appreciate spending time with you, sleeping, going for walks, games with colored scarves, singing and clapping games and short swimming sessions in a warm pool. If you want to do a class then it is more for you than the baby really