Make sure to breathe: Select clothing made of “Suplex” for breathable fabric or lycra for flexibility. Any clothes that specify moisture technology will help keep sweat away from your body as well. Cotton can make you clammy and hotter.

Don’t forget the top: Well-fitted shirts work best in most workout activities and some can even provide support for women. Loose-fitting tops do provide a larger range of motion, although they can become caught on the equipment. Know which workout you...