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Sorry to hear a lowlife helped himself to the things you worked hard for.

I analyzed the security camera coverage at my gym and park in the most illuminated spot that has a full crisp picture on the monitors. In my favorite spot, you can also see 2 spots on either side. The break ins I know about have typically involved the perp backing into the site next to their target.

When I plan to shower at home, I pack light and keep the bag with me or use the lockers on the workout floor that I can see the whole time.

When I play basketball, I put my bag on the sideline across the gym from where everybody congregated and store their bag. Even during a competitive game, if somebody crosses the court to be near my bag, it imeditately gets (and keeps) my attention. Sometimes I'll use the floor lockers just outside the court, but I can't see them while playing.
If I take my big bag and it's late (9pm-2am), I'll keep my bag with me. If it's busier, I'll use the public locker room. The problem with the private changing rooms is that a thief will get unlimited time alone to work in there... it's loud enough that he could potentially do whatever he wants, take all the time he needs, never fear somebody walking in on him, and out all the loot in a bigger bag without suspision.

If mine ever gets stolen, I imagine the police report will cost me my membership with no refund as the contract has a non-30.06 "no guns" clause.

Nothing is perfect.

P.S. if you're going to workout at home for sure, consider something like P90X (depending on age and current conditioning level, of course). My wife does it and I've used a few sessions when I couldn't make it to the gym... it's the real deal.