It would be a cool marketing gimmick, too. Call the gym something like "Watt's Gym", and add card readers to each machine so people can track their total produced killowatt-hours.
The actual amount of energy generated would still be pretty small, but it would be a fun gimmick to motivate people.
You could have an app and little screens showing the total energy that you generated this session or month, and see how much energy you contributed to the total for the whole gym that period.
Heck, an average workout could generate maybe 0.03-0.04kWh and if the gym was popular enough that would add up to a portion of the electricity used by the facility.
Those savings could even be passed on to the members with a reward system of some type, which also works as a marketing/motivational gimmick.
You get free sport and they get a slightly better life..
ps: if you ever set something like that up, please share the plans :)