The best way to get jiggy with gym etiquette is to tag along with another member. Failing that, here are some tips.
Just because a machine is strewn with magazines or towels does not mean a hard body has claimed it. If someone was using it, they'd be there. Don't be afraid to ask for help. Embrace your new boy/girl status - there is no hiding it. If you have corporate membership, you may not wish to fraternise with your underlings, especially if they can lift more than you. Also, you might look forward to your first workout, but you may not look forward to your second. After your first, expect to feel nauseous, yes nauseous. Before your second you will have to (a) wait for the aches to disappear, (b) deal with the memories of nausea and (c) remember not to drink the night before (it's like a work day in that way).
Establish a routine and schedule it into your life, like flossing. Contrary to popular belief, there's no need to act like the locker room is some sort of naturist parade. Getting in and out of the shower is okay, but there's a thin line between that and exhibitionism. This might also be worth remembering if you're on corporate membership. Back at the office, you may not have to imagine your boss naked at your next dressing down. The Wall Street Journal says: "The locker room isn't a peep show." Now, that's telling you.
Finally, there's no magic formula to choosing a gym. Depending on your schedule, it will make sense to be either close to work or to home. Space, natural light and aerobics classes might be essential for some people, while others, like myself, may be happy with less. If there is a studio for classes, however, check that it has a sprung floor, which is essential to prevent repetitive knee-joint damage. Also, air-conditioning and the availability of drinking water are crucial.