When I'm at the gym, all I tell myself to think is perseverance and pain, so I need something hard and edgy to get my head in the game. Anberlin, Linkin Park, Three Days Grace, Celldweller (more electronic; I've taken a liking to Pendulum while running), Breaking Benjamin, SR-71, Chevelle, Lacuna Coil, FireFlight, Within Temptation, Evanescence, System of a Down, Paramore, Alexisonfire (great screamo band, though I hate mostly every other screamo band, haha), 32 Leaves, and Wavorly are some of my favorites. Hard/alt-rock is not just for the guys!
If I need a break from musical slaughter in my ears, I'll switch to dance/electronica or pop-ish stuff. Kate Ryan and iiO are two women I can always listen to in the gym, and sometimes I'll switch to Justin Timberlake, Madonna, or heck, even fast-paced marching band stuff. =P