The lights in the gym are nothing compared with the ac load. Each person normally puts out 600w of heat, no doubt larger when riding a bike. Then, there are the (hot) showers taken afterwards, and then the ac necessary to cool the shower rooms, etc. Huge net loss. Most can't imagine how much energy it takes to run modern machines.
THink about it like this... Most cars have peak output of at least 100hp, some much larger. Now imagine 100 horses, all expending max energy as they try to pull the car uphill at 30 mph.  Next, imagine feeding the herd, cleaning out the stable, etc.
Back to a light bulb... One horse at full throttle can generate the energy to light around 10 100w bulbs.
Your points are valid, but I still see possibilities for home use.    Advances in efficiency could be used to provide an alternator that would fit the job.   My old landlord use to design and build linear alternators for NASA, Dod, and private firms, and from what he told me, they had very high efficiency.   LED's would probably be a better choice  than incandescent bulbs for such a small source of power.  

I think the biggest hurtles to finding uses for micro power generation, are economics.  So many consumer products are designed to be disposable.  I suppose that makes them cheeper to manufacture.  If products were made to last, we would consume less, but that would not be good for the economy.............