I do some photography in our gym, so I might be able to help you out on this one.
I can't really tell from your post how much you know about photography, so please forgive me if what I'm about to say is old news to you (maybe someone else will learn something). The major difficulties in gym photography are low light and high speed motion (as I suspect you've noticed). You've got three options for handling the low light - slow down the shutter, raise the ISO setting, and/or lower the aperture setting (as in, open the aperture wider).The motion makes it impossible to slow down the shutter speed without getting a picture so blurry that it's useless. Increasing the ISO is OK, but raising it too high results in grainy photos (each camera has its own practical limit, but 1600 is about as high as I'm willing to go with mine). Opening the aperture really improves things, but it's limited by the type of lens you're using. (A wide open aperture also decreases the depth of field, but that's almost always OK in a gym setting)
So, the lower the f/stop on the lens, the lower the light it can handle. I shoot with a Canon T1i and this lens:
http://www.amazon.com/Canon-Standard...rds=canon+50mm (WFS)
I think it handles the low-light situations really well. The equivalent Nikon lens seems to be something like this:
http://www.amazon.com/Nikon-Prime-Ni...rds=nikon+50mm (WFS)
So, if you use something along those lines (or really any lens that has f/1.4 in the specs), you can keep the ISO low and the shutter speed high while still getting pictures that aren't way too dark. The 50mm range is pretty good for framing individual athletes without getting too close while they're working out.