Other gyms have indoor running tracks. To keep from getting bored, bring a personal CD or cassette player filled with your favorite workout music. If you enjoy a group activity, consider a spinning class or step aerobics. I prefer to head to the gym during foul weather because so few people go. Chances are you'll get a great parking space and you won't have much trouble using your favorite machines.
People tend to stay away from gyms during dreary weather.
Use this to your advantage. Stormy days also may be a good time to cross-train. Try a different activity such as indoor rock climbing, boot camp, yoga or swimming in an indoor pool. Take it slowly. Your body may not be use to a new routine or movements.