We have a gym in the building, it's actually very nice and a great perk that you don't see everywhere.
I work out after 5:00pm, just because I want to relax during my lunch hour. I usually shower on site and then go home, because I have about an hour commute and it kind of stinks doing it sweaty. Bring everything in a bag to and from. I tried leaving a towel and soap in a locker, but that got smelly really quickly--it didn't help that our locker room has a sauna.
By far, the most popular time to go is during the noon hour, which actually makes a lot of sense, but I just didn't want to get all worked up at noon. It's a great way to meet people in the company that you normally wouldn't talk to ever, though. I always see the VP of my division in there in the morning, but I'm not a big enough brown-noser to change my schedule to get on his good side.