There are certainly a lot of options. Under the HITECH Act, <a href="http://searchhealthit.techtarget.com/tip/State-HIE-list-from-the-HITECH-Act">each state has its own HIE</a>, though some have made a lot more progress than others.
If you are part of a physician group, or you are affiliated with a hospital, then that organization may be part of a private HIE. If you are not affiliated, then you should ask your peers if they are part of an HIE and find out what their experience with the organization has been.
As you noted, some HIEs do have participation fees, while others do not. It's also worth finding out how the HIE operates, as there are different "models" of health information exchange. In a centralized HIE, data is stored on a central repository, like the iTunes store. A federated HIE, on the other hand, operates like a peer-to-peer network. Both models have their advantages and pitfalls. Finally, find out which EHR systems the HIE members are using -- if your particular system is not represented, integration may be difficult and expensive.