Pretty much all of my workouts are in the gym these days and it's always warm in there (and when it rains, it's humid--ugh
On cardio days, I wear shorts, a sports/jog bra, and an oversized t-shirt (actually, the t-shirts weren't oversized when I bought them, but now that I've lost 30 lbs I swim in them, so they've been retired to gymwear!
On the days that I work out with my trainer I like a little more coverage on bottom and a shirt that isn't flapping in the breeze (so to speak, if only there were a real breeze in the gym), so that I'm not flashing anyone when I do all the crazy exercises he has me do. I usually wear capris in some sort of supposedly moisture-wicking material (ha-ha, there's no material that can keep up with my sweat), the trusty sports/jog bra, and a relatively snug short-sleeved t-shirts (I just bought a bunch of prospirit shirts at Target for $6 each!)
I'm always hot, so I hardly ever wear full-length pants and I never wear a long-sleeved shirt. I don't know why it is so hard to find short-sleeved workout shirts in the winter; I can't be the only person who works out in a gym and wants to wear a short-sleeved shirt. I wish I were confident enough to wear a tank top or the jog bra by itself (I'm never gonna have the abs for that, I can tell you); it would be cooler and the huge flop sweats that I get wouldn't be as obvious.
If I do go running outside, in the summer I wear shorts, sports/jog bra, and oversized t-shirt. In the winter I switch to the moisture-wicking capris or full-length yoga pants, sports/jog bra, an oversized long-sleeved t-shirt (these were oversized when I bought them so I probably need to invest in some smaller long-sleeved shirts befored I go running or I'll look like a sail flapping in the wind), and gloves! It never gets cold enough here in CA to need a sweatshirt, but my hands do get cold sometimes.
Oh, and it's totally silly, but I not only match my pants and my shirt, but I also match my towel to my outfit. I actually invested in some new towels because I had bought some red shorts and didn't have any towels to match. When I buy new workout shirts, I always think about which colors will match my workout towels.