I am not a welder, but I bought a welding machine for the same purpose you are: to build my own gym equipment. It's amazing the amount of money you can save by buying the tools & materials and doing the job yourself. I bought a stick welder as it seemed the simplest machine to just get on with learning to weld. I'll leave the real welders on here to argue the pros and cons. My first project was a power rack (complete with leg press, two parallel chin up bars, safety pins).
I'll fall apart before it does.
That's great!
What welder do you go for? And how long did it take you to get used to welding right be able to make your own power rack? And did you do your cuts with a grinder?