If I had to choose, I'd pick Gyms.
I mean, at least with Gyms, there's not any sex stereotypes going on. With Contests, well, they usually make it out to be that only girly girls/metrosexuals/homosexual guys can participate in them on a regular basis.
I mean, personally, I think it's insulting to girls (and to a gender-equality-advocator such as myself, it's insulting to me as well) to have it seem that way. I mean, it's bad enough that May and Dawn are treated like any other female is treated in an anime, but to have contests treated in this manner?! ugh.. It's like saying that Women shouldn't read or the only things women are good at are homemaking, making babies, and playing with dollies (These statements are supposed to be a negative, BTW).