The gym i go to has alot of pretty and in-shape girls. However, i have always felt that it would be an inappropriate place to pick up women. Maybe it's because i'm a freshman, or maybe i'm just vibing it wrong, but i prefer to get in there, get my work out done, and just leave.
Nevertheless, if you should feel that approaching a girl @ the gym is appropriate, by all means, do it. What i would probably do is something like, "Hey...i see you come here alot, what's your name?" Then give her your name, n' say hi to her whenever u see her there, or even strike up a quick 5 minute convo. If she's interested, you should get her # in due time, and be able to start up a relationship.
K-Wise also makes a good point; the gym is full of young, fit, ambitious (usually), and disciplined people. To a girl, it is probably a much nicer place to pick up guys than a club or a bar, where people are drunk, disorderly etc.
Sometimes, if you'd like to pick up girls, maybe you can dress to impress a little. Like a beater/a-shirt instead of a normal shirt, and then, see if your potential target ever looks at you. I sometimes notice girls looking at me, and i'm not sure, but i guess that indicates at least a slight level of interest.
**Edit:** And if you're in to playing games...sometimes not noticing them on purpose makes them like you more. Go figure
