Gyms are hot beds of biological activity. For a start, gyms and health clubs are often crammed full of exercisers who are sweating, exchanging equipment and sharing showers, saunas and locker rooms. Some of these gym members may be carrying transmissible bacterial or viral diseases -- knowingly or unknowingly.
Even in the absence of a threatening influenza epidemic like H1N1 flu (formerly swine flu), you should take basic hygiene precautions. It may pay to be even more cautious when exercising in a gym or similar facility when a disease like H1N1 flu is known to be active.