The Guide states that "The first thing you should know is that working out at the local gym is the best way to raise this skill. While there, your Sims enjoy a nice exercise environment that helps raise it faster." My tests seem to show that the opposite is true:
I took a set of 6 new sims: 2 athletic, 2 normal, and 2 couch potatoes. All other traits were the same. I set up 3 Exercise Queen machines at home. I teleported one of each pair to the gym, in front of the same machine as at home, and set the other 3 in front of the home machines, and had them all start a basic workout at the same time. Here are the results:
8:11 AM Started workout
9:31 AM Home athlete gains skill level 1
9:38 AM Home couch potato gains skill level 1
9:46 AM Home normal gains skill level 1
10:32 AM Home athlete gains skill level 2
10:42 AM Gym athlete gains skill level 1
10:46 AM Home couch potato gains skill level 2
11:00 AM Home normal gains skill level 2
11:20 AM All but athletes fatigue out
12:00 PM Athletes fatigue out
Conclusion: the Atmosphere moodlet for the gym makes gaining the athletic skill SLOWER than without it. Again, something EA has let slide for quite a while. It was interesting that the couch potato actually gained the skill faster than one without the trait. The home athlete was 90% of the way to level 3, while the gym athlete was only 80% of the way to level 2.
Therefore, if you want to raise the atletic skill, AVOID the gym (until EA finally fixes this).