Here is what I pay attention to:
Treadmill: Speed. I run intervals of increasing speed two or three days a week. I make sure I start my first interval at the same speed or faster than the last time and I increase the speed of my intervals at the same or a faster rate than the last time I ran.
Elliptical: Resistance, RPMs, and calories. I always set the resistance to the same or a high level and then I try to keep my RPMS at or above a certain level. Some days I'm better at this than others, so I also always check my calories at the end of my session. If I haven't burned at least 225 calories, I know I haven't worked as hard as I normally do and I keep going until I get to 225. But I don't add 225 calories to my diet or anything; it's just to make sure I work out at the same rate from one day to the next.
Stair Machine: Speed and calories. On cardio days where I don't use one of the ellipticals, I use the stair machine. I increase the speed every 2 to 4 minutes and I try to go a little faster every time. I check the calories at the end just to make sure I burned as many as last time and to see if I managed to burn a few more. I have a goal of getting to 150 calories in 15 minutes--it's a meaningless number but it's good to have goals. I'm at 142 calories now.
I do all of the above workouts for 15 minutes, so there's not really anything to pay attention to in terms of time. If I'm doing something completely new, I will use the calories as a way of assessing whether or not I'm achieving the level of exercise that I want. For example, every once in a while, instead of running, I will walk on the treadmill at the highest incline setting. When I do that, I try to make sure I burn close to same calories that I burn when I run intervals.
I don't have a heart rate monitor, so I never use that measurement. The machines at my gym are uniformly incapable of reading my heart rate--although at least one of them thinks my towel has a heart rate of 200 BPM
I must have been sweating a lot that day so the towel was working extra hard.
One of my mottos is "Never go back, only go forward." So I always push myself to work just as hard or just a little harder than I did the last time I worked out.
For weights, I have a personal trainer so I don't pay attention to anything there. I just do what he tells me. It's always a tough workout.