I've been going to the gym religiously for well over 20 years now. I presently am a member of 2 gyms in my city (SF). I go to 24 hr Fitness for their classes (I take Step and Spin there) but my "regular" work out gym for weights is a local, smaller, older, non-chain gym that has a more low key neighborhood feel to it that I prefer over the larger chain mega-gym environments. I've been going there for many years now.
For serious work outs, Golds and 24 hr Fitness may be your best bets nationwide. I can't comment on Bally's as there are none in my area that I'm aware of. But Golds and 24 hr seem to have most of the things people want--variety and type of equipment, clean and modern facilities and class options. But as someone else here suggested, you should visit several gyms in your area before you decide which one works for you. Location is also something to take into consideration. If a gym is too hard or inconvenient to get to, you're less likely to go regularly. The bigger chain gyms can often offer multiple locations for easy access from home or work, and you might be able to get that kinds of usage as part of your membership.
As far as the "sex" options go, things aren't like they used to be "back in the day" when a lot of gyms were bathouses in disguise, where gay men could easily get action as well as bi/straight men if they were on the look out for a little "something-something". A lot of gyms probably still do have that type of atmosphere in the locker rooms and saunas though it's probably less obvious than it used to be, but a great many don't--the advent of AIDS/STD's and crackdowns by local health depts have had a major impact on all that.
I certainly had my share of really hot action in the sauna at some of my gyms in LA, but those days are gone and so I just hold onto the fun memories. My suggestion would be to find a gym that suits you for serious workouts first and foremost. If there's some action in the sauna or some lowkey cruising where you could meet somebody and hook up later on the outside, then that's bonus points for you, I guess. But I would shy away from actively looking for sex in the gym. There's a lot of other places you can give/get a discreet BJ or HJ besides the gym. And unless you go to a predominately or exclusively gay gym, you could find yourself in an embarrassing situation as a lot of gyms nowadays, even gay ones, have strict regulations about sexual conduct on the premises.
