while i do not wear cologne to the gym, per se, i do wear specific colognes when i know i'll be oot and aboot socializing in the sun or when its hot (like at pool parties or lawn bowling).
that said, there are some lines of cologne that work well for lightly athletic situations but nothing like the gym or a run. some of those lines usually have 'sport' in their name.
a favorite of mine is bennetton sport. Its a light athletic scent that is very fresh and has a minimal scent. but when your body temperature warms up just a bit it gives off the right amount of scent to make yourself smell great. try 'sport' colognes. but as i stated, those are probably best if you're just going to be hanging out in the sun (picnics?) or doing light physical exertion (lawn bowling or shuffleboard). They're probably not meant for hard core physical exertion.