7 Must Have Items for Your Gym Bag. Some of the basics might be obvious - shoes, shapewear, hair ties, deodorant, a sports bra, and a pair of leggings — but if that's all you keep in your bag, you're probably going to be a little surprised. 7 Must Have Items for Your Gym Bag : Fitness fanatics have logged hundreds of thousands of hours at the gym so it's easy to imagine they have mastered the