I was really concerned when I read this, so I did some research. For better or for worse, most graduate schools do not have access to the gym for free.
http://recreation.gocrimson.com/recreation/membership/graduate
You can see from this website that we in the Ed School pay less for gym membership than the Design School, Divinity School, and the Kennedy School. I also checked whether or not we have access to the shuttle service, and it seems that ANY member of the Harvard community has access to the shuttles with a Harvard ID card. Things may be expensive, but the Ed School isn't alone in bearing that expense.
As for whether it is worth it, I think that is really up to each of us as individuals. For what I want to do, I need a Masters in Higher Ed. It may be cheaper in the short term to attend another program, but in the long term, the Harvard alumni network helps you out in a big way. My fiance has been applying for jobs in the Cambridge and Boston area, and a lot of the people in high level positions graduated from HGSE. For me, it is worth it, but I spent a long time making that choice.