I used to live in Mexico City. It depends what do u guys mean by "hardcore gyms". I know in Mexico some small gyms do sell AAS OTC and they even have a little doctor's office attached for your prescription if u want one but it's optional. I know this 1st hand 'cause I used to workout in one of those. You can get anything from insulin, HGH, to tests, pills...anything. In fact, every 2 weeks a mini-van with the Schering plough logo in the side swings by the gym for delivery.
Big gym chains such as Sport City and Sportsworld have AAS available under the table, they are more discreet and usually overpriced since these are branded gyms with expensive memberships.