When I lived in Sydney I was a member of
www.fitnessfirst.com.au they have three good locations near Pitt Street as I recall.
If you are looking more for the lady who lunches style gym, and IMHO the nicest luxury facilities in Sydney, check out No 1 Martin Place, in the same building as the Westin. I was seriously impressed. Here is a free three day pass:
http://www.goodgymguide.com.au/no1th...club/index.htm
And the gym website:
http://www.no1thehealthclub.com.au/home.asp
Gold's is probably the best mix of an Oxford Street crowd and heavy bodybuilding, if that's the sort of thing you are into; as a result it does not focus on the amenities side of things.
There was also a more or less 24 hour gym next to the Hard Rock Cafe, but can't remember the name of that one. Not overly smart, though.