There is a good ending to your problem. Unfortunately, it does require surgery and at least a reduction in your weight training (you won't be able to do some weights during your recovery, but I imagine there are some exercises you could still do).

It sounds like your cyst is not currently infected. That's good, as you don't have to deal with it anytime soon unless it becomes infected again (if it starts leaking again or you develop other signs of infection such as a fever). Also if your cyst is infected, there are less invasive methods of dealing with that then to get surgery, such as antibiotics.

Now I am a strong proponent of getting the surgery. It's how I got rid of my pilonidal cyst ten years ago; it hasn't returned. The surgery itself is not painful. It's a one-day inpatient procedure, and you will probably be discharged from the hospital the same day. The recovery is not as painful as your doctor made it sound, and you will not be as limited as you think you will be. I assume he was talking about the open excision procedure where the surgeon will leave the wound to heal naturally. This process takes about three months. It will be difficult for you to sit the first week, and it will be very painful for a few seconds when you remove the gauze the surgeon stuffed in there during the surgery. You will want to take care when sitting for the first month, and you will want to avoid athletic activities for all three.

When I say you should avoid athletic activities, I mean those that stress the wound at your tailbone. From my limited experience with weight lifting, I know there are exercises that you can do standing, and I know that you can do free weights in almost any position. I surmise that you may be able to bench press after that first month, but that would depend on how much your wound hurts when you lie on your back. I'm unsure if leg lifts would be good for you when sitting, and certainly avoid that inverted leg strengthening machine until you have healed.

This being said, there is another surgery you could get. It's called the cleft-lift procedure, where the surgeon stitches up the wound. The recovery time is shorter, but you have to watch for complications like infections and popped stitches.

I know this post doesn't tell you exactly what you want to hear, but I hope it helps lessen your concerns.