Like anything else, you'll need to play around with holster and clothing options yourself to see what works for you and your style. One good thing is it's socially acceptable to wear baggy ugly clothing while working out.
Belly band while out running.
That's my vote. It works great for me, I get a little swaet on the gun sometimes, but it's a Glock, so it's not an issue. I have Thunderwear which I tried, and while it's great for deep concealment when nothing else works, when I ran with it it bashed the gun into my testicles a few times too many.
Clearly, you also don't work in a gym and haven't witnessed fist-fights and death threats amongst spouses who have been found to be having affairs at the gym (some with aerobics instructors!)
+1, I can't stress this enough. I worked at a family oriented gym for a few years, in a nice area with few problems, but gym affairs were a constant issue.
We'd routinely get angry phone calls from spouses demanding to know if their significant other was there at the time, if they came in alone, etc. etc. Many confrontations took place; there was one incident where a husband came in to confront his wife and her lover with a gun, and I'm willing to bet that there were more issues like this with guns where they just didn't become visible.
Adultery aside, there was also issues with off duty cops working out who had run ins with people they'd arrested in the past confronting them or trying to attack them inside, drug sales (steroids, meth, and anything else to "enhance performance"), stalkers...
This isn't a "this happens in bad places" type thing. I worked in a nice place, but sometimes people go crazy, and many times bad things just happen. A gym is one of the last places I'd want to be while unarmed.