In my experience, the worst for gym theft (I've been the victim many times) was a rather upper-crust city, which beats its chest and claims to have the lowest crime rate in the nation (utter bullshit, they have a nuanced definition of "crime"). By contrast, at the same time I would also use a crappy location of the same gym chain, in an area considered somewhat "bad." I noticed that many guys didn't bother to lock up there, even while working out-- they would just tuck a bit of paper towel through the lock hasp to indicate that the locker was taken. At first I thought that maybe they had noting of value in there, but then I discovered they would leave their wallet, house and car keys, etc. It really came down to a code of ethics-- they might tag property, distribute drugs, shoot each other in the street, or do other things we generally call "criminal," but messing with somebody's stuff at the gym is just so low, something no real man would ever do.
On the other hand, in the city that considers itself almost crime-free, there was a rampant credit-card and cash theft problem at an upscale gym location. (Yes, I know, you aren't supposed to bring valuables, but practical considerations don't leave you much choice sometimes.) Combination locks are popular, because there is no key to loose, but this is when I learned that most of the common models in the USA are almost as easy to open without the combination than with it. Sometimes they would actually steal your physical cards. When I tried to report this to the police, to get a report in case of possible identity theft problems later, the police refused, telling me that gym locker theft was not a "reportable incident." (Ahhh, now we know how they get that lowest crime rate in the nation statistic...)
More often, however, in the days before "chipped" cards, they would open you locker and make duplicates of the card's magnetic stripes, then put everything back. A very nice lady at the fraud department of Amex explained to me exactly how they do this, from opening the lock without damaging it, to reading the card data so they can make a duplicate, to photographing your driver's license so they know your zip code (used to authenticate some purchase, such as at gas pumps) and have a specimen of your signature. But they don't take anything physical, they put everything back and lock up again, so you have no way of immediately knowing what happened, giving them more time to go on a spending spree, unless the credit card fraud monitoring catches it. On at least two occasions, I've had my phone ring as I was leaving the gym, and it was the bank, asking if I was 300 miles away at a Best Buy in Las Vegas, buying a $5000 TV or some such thing. Took them less than an hour to email the card data, make a duplicate card in Vegas, and go shopping.
I work in the same delusional "low-crime" city as that gym location, which is not only right by my office, but had a couple of truly outstanding personal trainers, so I wanted to continue using it. The solution was simple-- I bought a lock that none of the upper-middle-class-white-collar-asshole crooks had ever seen before. I mail-ordered it from the website of a hardware store in the UK. While doing this, I discovered that in Europe, consumer locks are rated with a security level. The same store also sold the Master and other common brands found in the USA, which were labelled "unratable" I bought a cheap lock with a medium security rating. My theft problem stopped immediately, and has been gone for 5 years.
