I've never used a gym, so I can only go on what I've seen on television, etc.
Surely there are very few pieces of apparatus where the human effort could be used to drive a dynamo.
Pinus, there are loads of suitable things. Treadmills, excercise bikes, rowing machines, things called steppers (I think). You know those dynamos you used to stick on your bike wheel to power the lamp, you'd just need some kind of similar gizmo that could be driven by repetitive motion.
I'm just not sure whether you'd get enough power to make it worthwhile.