Don't choose a gym where the staff tries to sell you pricey designer leotards. Inexpensive cotton workout clothing is acceptable in gyms, and more expensive gear doesn't improve your workout. If the staff tries to convince you otherwise, choose a health club where the emphasis is on fitness. If the members who are working out all seem to be wearing clothes you wouldn't be comfortable in, consider whether that would distract you, but don't feel you need to buy into their uniform. If you do want to wear the latest in workout clothes, go for it!