The number one rule of gym etiquette is to check your ego at the door. As long as you're considerate of others and not worried about competing against anyone but yourself, you'll automatically fall into the "polite" category. There are a few unspoken rules of gym etiquette, however; following them will automatically land you in the "good karma" column with your fellow exercisers.
Keep Clean
Carry a small towel with you as you circuit through the various pieces of exercise equipment; most gyms provide copious amounts of free, clean towels for exactly this purpose. Wipe up any sweat right away, as soon as you're done using the machine. Even better, if you're using cardio equipment, find one of the spray bottles of cleaning solution most gyms leave conspicuously distributed around and give the machine you just finished using a quick spritz and wipe-down.
The wipe-up-your-sweat rule applies even if you're not wearing a tank top; you'd be surprised how much sweat you can get on a piece of equipment from contact with the back of your head or neck. If you can't be bothered to wipe up after yourself, lay your towel on the equipment before sitting or lying down so that it absorbs the brunt of your sweat.
Pick Up
Always put your dumbbells back where you got them; most gyms have each slot labeled with what weight should go in it. If in doubt, group dumbbells of the same size together, with heavier dumbbells on the bottom tier of multilevel racks.
Always remove any removable weight plates from barbells and weight machines. The person after you might not be able to lift the same amount of weight as you can, and she almost certainly won't want to have to clean up after you, even if she's capable of it.
Keep Moving
Don't sit or lean on a piece of equipment if you're not actively using it. If you're alternating between multiple pieces of equipment and someone else asks to work in, say yes if at all possible, or at least be polite when you ask that person to wait for you to finish.
Many gyms impose a 30-minute time limit on using cardio machines. While this usually isn't enforced if there are plenty of machines open, be aware of the rules and be ready to obey them when it matters. Some gyms also require you to sign up for a given machine before using it (the machines are usually numbered or otherwise clearly labeled). Again, while rarely enforced, if you don't obey this rule you should be ready to yield to those who do.
Advice
Silence is usually your best bet; never assume that you know more than the next person. He might be lifting weights differently than you do for a specific purpose. If you feel you absolutely must speak up in order to prevent a potential injury, go ahead -- but often you can ask gym staff to intervene in potentially dangerous situations, making sure you don't become the scapegoat for a bad-tempered fellow exerciser.
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