There was a gym chain in Australia call Fitness First that was kind of famous for this BS. You had to go to 'head office' to cancel, then head office would bounce you to your local gym etc etc.

It so severely damaged the brand that the company publicly apologized and fixed it. But there's a glut of gyms so competition may have played it's part - I'm a lot more likely to sign up for something if I know I can pull out easily.