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Regarding the gym: most people at the gym are too focused on what they're doing to really care about everyone else. Go, try it out and see if you like it. If you don't, there are exercises you can do on your own/in your room
First off, THIS. No one at a gym is watching you, they're too busy doing what they came there to do...working out! So please don't worry about this. You can always walk outside, do strength training in your room, etc, but your fees pay for that gym! Get what you're paying for!
Second, what options does your dining hall offer for breakfast/lunch/dinner? Mine always had a salad bar (for breakfast, it had fresh fruit, cottage cheese, and yogurt as well), some sort of baked protein entree, hardboiled eggs, deli meats and cheeses, etc. It would totally be possible to make a healthy meal using those ingredients. Big salad, some deli meat or roast chicken for protein, maybe a side of fruit...delicious.
Now, you ARE going to face a lot of temptation being in that dining hall with the less healthy options, granted, but I've never seen a dining hall that didn't have good, lower-calorie options available.