I used to wear a fanny pack with my car keys, walkman/discman, gym card, Xenadrine, and either a key to my locker or the combo because I would forget it sometimes.

They have these little belts that you can put on under your clothes now if you don't want to use the lockers. I don't use lockers at certain gyms because there have been too many break ins. I usually prefer to carry around one of those little bags you can get at expos and nobody says anything.