This is a problem I've considered often. Running with a gun in the pocket won't work so I think a belly band might the only on body option. I refuse to carry off body. A micro .380 or .38 would probably be the only feasible option for me. In addition, I wouldn't want to sweat all over my gun each time I work out. Might have to wear an undershirt between my skin and the gun.
Also, for the poster who was wondering why one may need a gun at the gym: you may need it anywhere, you just don't know. Crazies and jerks exist everywhere. Plus, your trip to the gym and back home are considerations as well. I carry not for the odds, but for the stakes...