I did a lot of research into what I wanted to be able to do and what exercises would get me there. I also paid close attention to "if you hate doing it, you won't do it" so if there's something I despise, I don't do it, because it's not something I am willing to do long-term.
I really like the free weights, compound movements and flexibility. I don't like machines or classes. So I go in, do my own thing, and leave.
Besides your normal workout wear (t-shirt, yoga pants, sneakers), I would recommend bringing a towel (to wipe down equipment after use), a water bottle, a healthy post-workout snack, headphones if you're going to do something like the elliptical or the treadmill, and something in which to log your workouts (can be your phone). More data is always good!