Some gyms don’t really have a good place for you to put your things -- mine, for example, has a system of cubbies that are very handy, but very much out in the open. Wrap your important stuff -- your cellphone, your iPod, your car keys, in your gym stuff. When your important things are wrapped in towels, socks, etc. anyone doing a quick rifle through your gym bag will be less likely to steal anything.
