My gym actually does that. The elliptical machines actually tell you how much power you're generating. Going at a moderate pace generates about 90 watts. That's enough to light up about 10 modern light bulbs.

You're going to be generating that energy while working out anyway and it has to go somewhere. I think the biggest benefit is being able to direct where that energy dissipates. You can either put those 90 watts into the air as heat through friction, or put it into electricity through some dynamo. The second choice will make it so the place doesn't heat up as quickly.