Athelete's foot spends more time in gyms than Schwarzenegger. This itchy, scaly fungus is commonly contracted by walking barefoot through gym locker rooms or showers, so wear flip flops.
Warts are another nasty that can be picked up after sitting bareskinned in a sauna or steambath.
Sit on a dry towel. Unexplained rashes can be a result of makeup, deodorant or sunscreen mixing with sweat. While sunscreen is vital for outdoor sports, use a waterproof one. In general, try to avoid putting extra lotions and things on your body prior to your workout. Always wear fresh workout clothes and change out of them as soon as possible after you're done.