Well... first of all, wear clothes.
Seriously - if you wear glasses, you might want to leave them at home or in the car, because... you'll get an eyeful.
Form follows function.
What that means in this situation is: it is MORE important to be comfortable and practical doing gym activities, than it is to look good.
Functional factors:
- sweat-wicking fabrics
- flat-lock seams
- loose-fitting
- really good footwear
- layers - if you tend to start out "cold", you should have a layer you can "peel" once you get warmed up.
As far as "looks" goes? Depends on the particular gym and the people who go there, so... use what ya' got now, and go see what the others do.