I absolutely love gym game. exciting, but sometimes difficult. I've found being playful in the gym is much better than going with direct openers or walking around like you're just there to own and destroy weights hahaha. Those are the douchy guys. Sure, get a good workout, but talk to everyone! girls and guys.
I think the aura and swagger you show in the gym shows a lot about you. The weight room is a place where EVERYONE checks EVERYONE out. girls check out girls and guys. guys check out girls and guys-not saying in a gay way... just try and tell me you don't recognize every guy that frequents your gym... it's the same for girls, so make your presence felt by smiling and conversing, but still meaning business. and no grunting or trying to show off with heavy weights.
Some friendly, indirect openers you might like are simply asking what a girl is listening to... be funny if you want! (that's kinda my style

)
PUA: Hey, what are you listening to? I can never find the right music to get pumped up in the gym

lol. What do you think of miley cyrus?
This is funny - girls love it.... build a little rapport. I even switched ipods with a girl the other day for like 15 minutes. i went back to her and we talked about music for 10 minutes. then # close.
I ALSO love commenting on girls clothing, or their lifting outfit. I wear black shoes and lots of the girls at my gym wear all black... i dunno if that's a gym outfit trend, but it works perfect because everytime i see it i go tell a girl that we should switch shoes because mine go better with her outfit.
If you are confident enough, aka have a good physique, ask a great looking girl "I really need help with all this cottage cheese on my legs and it looks like you know what you're doing. are you ready to be my trainer?... (drag out the word trainer and reach out your hand to exchange names)"
the gym is AWESOME! some of the best girls you can find reside in the gym. however, like Dkat said, if you number close on a girl you most likely won't call, just make sure you put off the same aura next time you see her in the gym. USE HER to get noticed by other girls!!! little hug, big smile, light talk, then move on
good luck and happy gym gaming!