I know this doesn't sound helpful, but . . . there's only one way to find out! <img src="/images/graemlins/wink.gif" alt="" />
It will depend on the demographics of the area and how well your jewelry "fits" with the members. I have always thought that the gym might be a good place for jewelry, because the people who go there are willing to spend a little money on themselves (gym membership), there are a lot of woman (woman love jewelry), and they are people who tend to care what they look like, so they may especially like adornment.
That said, you can never really know for sure unless you try. The holidays are the best time to do things like this, because people start to panic when they needs gifts at the last minute - and jewelry almost always makes a great gift.
You may find sales to be slow the rest of the year, which is typical for jewelry in general. I've found that people like to see designs switched out with new ones pretty often, or else they stop paying attention. This would probably be the case especially at a gym, where most people visit on a regular basis.
Are you able to do that? (I'm not always able to come up with new designs once or twice a month.)
If you do agree to this, make sure you're comfortable with the set-up, security, and how the transactions will take place. If the gym has a standard contract for consignment, great. If not, you should at least talk about what you'll do if something gets stolen or broken, etc. Those are things that sometimes come up.
Also, be sure to keep careful track of what's there at any given time.
Let us know how it goes. <img src="/images/graemlins/smile.gif" alt="" />