Working at a gym, I've found that it's best to see which of the guys are social and which ones would rather not let you bug them, as a first step. Even some of the straight guys have walked up to me and started chatting. Some of them get bored between sets, and its cool to talk to them.
After I feel comfortable with them, I usually come out (not on purpose, but they ask a question and I just decide to be honest). I've not met any gay guys that way, but I've made some good gym friends that way (One even tried to convince me to try going after one of his gay friends).
I actually have a fairly cold relationship with the gay guys at my gym. I don't want to "out" some, and others I don't want to make them feel like I'm hitting on them.. and a small minority are so gay I don't want to be seen around them and have myself outed again (has happened once, my coworkers asked if I got a gay friend of mine's number after they watched us talk for a while).
Though, one interesting situation.. I was checking out a guy that worked out, and a few weeks later, him and his girlfriend ended up at our local gay bar. His girlfriend started dancing with me, and he ended up coming along. Though he is still "straight", he's pretty flexible, and has made it fairly clear that some day he's going to experiment with me and my beau. But.. that doesn't count, because I didn't say a single word to him at the gym before I met him at the club.