The Gregory Gym is the main one, and it's quite awesome. Almost all of it is free for student use (except the rock climbing wall, and maybe some other stuff.) But all the weight rooms, equipment check out (rackets, balls, etc), basketball courts, racquetball courts, running tracks, indoor and outdoor pools, etc are all completely free.
I took a tour at orientation but I didn't really see a "locker room". They have lockers where you can lock your stuff up, but I think most people would just go back to their dorm showers to shower. It's pretty might right next to the major dorms (Jester/Moore Hill/San Jac/those other non-honors ones).