My gym is scary.
It's a super pish posh place and almost everyone working out is employed by The Empire.
That said, it's a good thing I don't go too often because the level of swank-i-tude creeps me out. (Example: They have a monthly magazine that gets mailed out to all members. There are quite possibly 35 advertisements for cosmetic dentistry, 49 for laser treatments, 17 plastic surgery clinics, and a handful of diamond jewelers)
I've made a point to wear 'non-workout' attire when I work out--it's my own form of gym rebellion. Today, I wore maternity gauchos (no, I'm not pregnant) and a t-shirt that says "I'm a Super-Duper Programmer" (Alex refuses to wear it) and grey tennis shoes with bright white socks.
Another random bit: We had to introduce ourselves in the class I'm taking and tell where we worked. After awhile I felt like I was in a twelve step program. After 20 or so "Hi I'm Joe and I work at Microsoft".