WordNet (r) 3.0 (2006):

gym
    n 1: athletic facility equipped for sports or physical training
         [syn: gymnasium, gym]

Moby Thesaurus II by Grady Ward, 1.0:

98 Moby Thesaurus words for "gym":
   agora, amphitheater, archery ground, arena, athletic field,
   auditorium, background, badminton court, baseball field,
   basketball court, bear garden, billiard parlor, bowl,
   bowling alley, bowling green, boxing ring, bull ring, campus,
   canvas, circus, cockpit, coliseum, colosseum, course, court,
   cricket ground, croquet ground, croquet lawn, diamond, fairway,
   field, floor, football field, forum, glaciarium, golf course,
   golf links, gridiron, ground, gymnasium, hall, hippodrome,
   ice rink, infield, links, lists, locale, marketplace, mat, milieu,
   open forum, outfield, oval, palaestra, parade ground, pit, place,
   platform, playground, playing field, playroom, polo ground,
   pool hall, poolroom, precinct, prize ring, public square, purlieu,
   putting green, racecourse, racket court, range, ring, rink, scene,
   scene of action, scenery, setting, site, skating rink,
   soccer field, sphere, squared circle, squash court, stadium, stage,
   stage set, stage setting, stretch, tennis court, terrain, theater,
   tilting ground, tiltyard, track, turf, walk, wrestling ring