Welcome to SF...I've lived in P-Hill for the past 3+ years and can't write enough good things about the neighborhood.
I'll second the recommendation for M2 (
http://www.M2rev.net); I've been attending the AM class on Tues/Thurs for the past few years and have seen a dramatic improvement on the bike. IMO you can't beat the price (or the fact that you don't have to lug your bike back and forth) and it's easy to get to and find parking for the morning classes.
While I'm not a member of the UCSF Mission Bay gym, which is only a 10-minute walk away, I've heard the pool is great (although can be crowded at times for lap swim) and the facilities are top notch. Also, I received a thing in the mail that said they're waiving the initiation fee if you join in January; after that it's around $90/month or so. I do most of my swimming on the weekends so I'll either go down to Burlingame High School ($7 drop-in fee), which is a ~20 min drive south on 101, or up to Tam High School in Marin (same drop-in fee) on Saturday morning and then do a bike ride directly after.
All that said, there are plenty of swim/bike/run and tri-club options around here and you really can't go wrong with any of them.