A few gyms are jumping on the human-powered bandwagon with particular vigor. A Connecticut-based company called Green Revolution retrofits spinner bikes to convert pedal power into electricity. A hard-working class can keep a gym lit while it's riding and power some of the televisions. But the package is relatively expensive and not yet widely available, so you might have a hard time finding a people-powered gym.
In the meantime, encourage your gym to green things up a bit. A few large televisions generally run less electricity than individual TVs on every machine. A sign on the screen reminding users to turn it off after use could save a kilowatt-hour per unit, per day. Ask the staff to nudge the thermostat up a little in the summer, and down a little in the winter. (Climate control accounts for far more energy than all the treadmills combined.) If you're looking for a new gym, ask what they're doing for the environment. You might be impressed. Some Lifetime Fitness clubs, for example, use recycled pool water to flush their toilets.
Of course, you could stop being such a baby, pull on some synthetic long johns, and train outside through the winter. Zero watts required.