I currently live in SF. I've only lived here for 3 years so I can't say I'm an expert on the city, but here are my thoughts -
Rent - anywhere that is decent to live starts around $1500 per bedroom. New listings (by agents or owners) are more expensive and are very competitive. 30+ people show up at open houses and I've heard offers of 6 months rent up front. The better option is to look on craigslist for people who are looking to fill a room in an already occupied apartment. There are a lot of people who have leases on rent controlled apartments so their lease is well under-market.
Location - it really depends where your job is and what you are looking for in a neighborhood. SF has a ton of neighborhoods that are all pretty different. if you have a question about a specific place I'd be happy to answer.
Gym - I go to world gym. I'd say its more a bodybuilding gym that powerlifting, but it has 4 squat racks and 4 platforms. it's relatively inexpensive and is not very crowded compared to other sf gyms. very friendly people there too.