[jules]

This is not my experience. After a couple you won't be able to lift anymore, but you won't really be exhausted either. At least I can't lift any more just because my muscles fail. I don't regularly lift weights though, so perhaps if you're more experienced you can. That said, you don't need experience to get exhausted running (but the tendency of many people is to stop long before that point).

[achompas]

You're probably lifting too much weight, or leaving the gym too early. I know this isn't helpful, but you should be exhausted once you leave the gym.

[jules]

How much weight should you lift? How long should you spend in the gym?

[achompas]

It's more complicated than a simple formula. If we're talking about olympic lifts (squats, deadlifts, clean & press), start with the bar and increase 5 lbs every day until you start hitting a limit.

Check out Mark Rippetoe's "Starting Strength" [1] for more info. Great program for anyone new to weightlifting.

[1] http://startingstrength.com/