The problem is that in order to gain muscle you have to continuously strain your existing muscles beyond their current comfort zone. The ideal exercise rep range is around 8. The body adapts very quickly to a new routine, and this really requires that you are able to continuously increase the stress load.
Secondly, exercises that are largely cardiovascular in nature (like running or biking or what not), are much slower in building muscle. They will also build a different kind of muscle fibre which is less visible.
Anyway, my point is that you are by far better off going to a gym.
Here is a link that has a very large collection of exercises.
For the hamstrings, a home option could be lunges (particularly if you have some dumbbells).
For the biceps and triceps you are really dependent on some weights to do any kind of curls or extensions (which are the most common types of exercise).
However pullups or chinups do hit the biceps significantly (particularly with a narrower grip). Similarly any variety of dips as well as pushups (also with a narrower arm stance- see pushups, close tricep position) hit the triceps.
The_MoUsY_spell_checker answered Monday April 13 2009, 9:13 am: For your arms, lift weights. Just use big bottles of water as weights if you don't have proper ones.
As for your thighs, walking or cycling would really help.
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