From a guy's point of view, initiating a conversation with a random woman anywhere, not just in the gym, is fraught with peril, and probably not worth it. The difference between "flirting" and "creepy" is entirely in the mind of the recipient, and if you initiate a conversation, you really have no control over how it's interpreted. The downside can be pretty bad if it's received poorly.

I'm exceedingly grateful I'm already married and don't have to put up with this minefield anymore!