I wear perfume to the gym all the time. I think the one that shocked Basenoters the most when I was new here, was Hypnotic Poison ! But I only used a little - it was strong enough to emanate somewhat when I did cardio .
I have also worn Youth Dew parfum extrait in small doses - I got 2 good compliments from that and also Beyond Love By Kilian which also got compliments.
The new Chloe which is no longer in my wardrobe got male compliments a lot -I was quite surprised. One guy said he was going to buy it for his mother- he said it was wonderful .( I beg to differ ! )
Shalimar does well at the gym too and really warms up when you get hot and sweaty.
The one I DO NOT recommend anyone use to the gym is Origins Ginger Essence. I nearly died of heat - I was burning up -I had to throw my entire bottle of water on me when I was spinning . ( I did feel like a Tour de France rider though ! )