I am not sure what data exactly you are looking for but I did a google search for ‘fitness industry statistics’ and immediately had a lot of information. One in particular stood out, and here is the link: http://www.reportlinker.com/report/search/mode/public/pgnum/5/sort/date/…
I wish you good luck. It is a very good approach to start with some research and a business plan.
Here are some press releases from IHRSA that provide some free industry information.
U.S. Health Club Membership Exceeds 50 Million, Up 10.8%; Industry Revenue Up 4% as New Members Fuel Growth
IHRSA Index Posts Notable Improvements in Secondary Sales & Expense Management
You’ll find more press releases on ihrsa.org/media-center.
These stats give summary information, though. If you’re looking for more details on market & industry research, you may need to invest in some reports.
If you’re on a tight budget and you’re looking for local data, I agree with Stephen — there can be a lot of free information available from government sources.