I tend to take off what I think of as excess jewelry, meaning I take off anything that isn't in a permanent body piercing. I'm the only person I know of who's idea of not wearing jewelry nonetheless still means she has 28 rings on her....LOL!
It would take me 45 minutes and two pairs of specal pliers to take out just all my earrings, so really, if the pair at the bottom of my lobes that I change regularly are out, that's no earrings to me. I've learned not to snag the rest of them and no others have the potential to hit me in the face or head jewelry-wise.
For me, it's not the sweat, it's the comfort. I sometimes wear lots of jewelry when dancing, but the movements don't seem to conflict with things like rings and bracelets. I will watch out for longer and heavier necklances if I really want to get my groove on. However, with exercise, where I bend and flex all over, and also wind up lying down at times, I find that excess jewelry gets in the way or bugs me.
