This will give you an overview of the facilities and help you learn where everything is and what options are available. You can even schedule a tour before joining the gym, just to make sure that it's a good fit. You can call ahead or just ask the person at the front desk, "Hi, I'm new here. Could I have a quick tour?" When on the tour, take note of the equipment or machines that you prefer so you can easily find them later. The tour is a great chance to ask any questions you may have about the gym. Different gyms may have different rules about noise and behavior, so make sure to read over those rules beforehand. Often, gym-related anxiety comes from not knowing what to do. Having a working knowledge of your new gym's etiquette can help you feel more assured and comfortable. Knowing the rules can also help you avoid awkward situations. In some gyms, grunting and making loud noises is against the rules and could lead to you being asked to leave. Having someone to talk to can lighten the mood and make you feel less self-conscious. Try bringing a friend to work out with for your first few gym visits until you feel a little more comfortable. Take advantage of times when the gym is empty by using that time to familiarize yourself with the layout and equipment available. This will give you more privacy and time to familiarize yourself with the gym until you become more comfortable. Peak hours tend to be early in the morning before work, during lunch, and right after work gets out. Off-hours are generally mid-morning, mid-afternoon, and after 7 pm.

Summary:
Ask for a tour. Brush up on the gym rules. Bring a friend. Avoid peak times and go during off-hours.