Denise and Karin already gave great advice.
I don’t currently have a website, but I have an active facebook fan page (separate from my personal page) with content that’s targeted towards the types of clients I wish to attract. I don’t get a lot of brand new leads from it, BUT I send potential clients there so they can get a feel for my training, and I use it to communicate my class schedule and build community with existing clients.
But the most effective thing for me has been word of mouth. A client likes my training, they bring me a new client, and I give the existing referring client two free small-group classes and in some cases one free personal training session.