I am a personal trainer, and I've had this idea for many years. It seems there are several limitations to this idea: mainly the relative cheapness of electricity, secondarily the relative weakness of the human body. I'm no marathon runner, but I can put out about 160 watts of power for about 50-60 minutes on a cardio machine during an average workout. Compare this to a microwave oven, which runs at about 400 watts, or to an incandescent lightbulb at 60-110 watts, and you can imagine the limitations of such a scheme. A year's worth of hard workouts might get me a couple of dollars' worth of electricity at current prices.
Granted, prices are going up for electricity as oil prices rise. I think at best, this sort of scheme represents a great marketing ploy for eco-conscious gym entrepreneurs who want to capitalize on the green business craze. Thirdly, the technology (namely a variety of quality cardio equipment outfitted with adjustable regenerative braking technology) simply doesn't exist commercially. Such machines would need to be engineered and custom-built from either existing parts or from scratch- a costly undertaking by most standards. Ultimately, I think a lot would have to change before this actually became an economically sound idea.