I don't know about the classes, but I can tell you that The Little Gym of Paradise Valley is the perfect place to throw a birthday party of a 2-year-old.
My kid loved it. All the other kids (ranged in ages from one to 4-years-old) loved it. The parents loved it. And I couldn't have been any happier. The activity room itself is a really good size with plenty of different things for small children to do. During open play times every kid found something to do keep themselves busy. The staff also kept the kids' attention when they did group activities.
The staff also couldn't have made the whole experience any easier. My wife and I brought over all the decorations and nonperishable foods couple of days in advance, and it was perfectly set up when we arrived about 15 minutes before the party started. They guided the parents and kids through everything, served and trashed the food, wrapped up the presents so they were ready to go, and had everyone out the door with their party favors in at the end of the party. They also cleaned up. We pretty much just got to sit back and enjoy it while they did all the work. I've been to plenty of similar parties at similar places, and this was definitely the best in terms of service. Also; The Little Gym was significantly cheaper than most of those other places.