Just because you are at the gym does not mean you do not have to look pretty. You obviously want to bring your best face to the gym. But keep in mind not all makeup works when you are at the gym, because you will be actively sweating. I do recommend a few products.
Before you go to the gym hydrate your face! Since you will be sweating a lot, hydrating your skin to make up for the loss of water will help decrease breakout. One of my all-time favourite is by Citrus Clear; I use the one for sensitive skin. Another option is giving tinted moisturized a try, this is a mix between foundation and BB cream, but it gives more air for your pores aka less likely to break out. If you are outside, do not forget to pick up sunscreen beneath all the makeup!
An oil free foundation is always the way to go. In general, all the makeup you wear should be oil free when you are at the gym. This way it will allow your skin to breathe. When you are wearing products with oil it in, it clogs up the pores which traps the sweat under your makeup - this easily cause smearing AND it could potentially bring up zits. You should always carry concealer with you too, because you never know when a pimple can pop up...
A nice touch of blush and bronzer is always nice. But do remember, you are going to the gym, so stay away from too heavy of a makeup look.
A very useful product I came across is a makeup finishing spray by Skindinavia. It can be purchased on Amazon. What this spray does is it set your makeup, spray if pre and post workout and it keep your oil free makeup in place, which means less smearing. Then after you work out, another spray will help you cool off and gives plenty of hydration.
Buy: http://www.amazon.com/dp/B004QLTJA6/?tag=hyprod-20&hvadid=15468301779&hvpos=1o2&hvexid=&hvnetw=g&hvrand=1292373491500448010&hvpone=&hvptwo=&hvqmt=&ref=asc_df_B004QLTJA6
Obviously wear waterproof mascara unless you want black streaks running down your face, and similarly a waterproof eyeliner. Unless you are doing yoga or spinning class and it would not cause any crazy damage. A nice soft tine of lip-gloss will be cute too.
Do not forget to bring facial towelette to wipe your face clean after post workout. It will easily get off all the dirt, oil, sweat and bacteria.