Before you begin contacting companies you might want to put together some information on your gym: membership and usage data, and demographics of membership, things like that. Also, are you talking about ad space in terms of paper ads on a bulletin board, or on your web site, or something else? Also, do you want to target local businesses, or large businesses? Go to the web sites for a couple of businesses you might want to approach and look at their marketing information (usually at the very bottom of the home page there is a link). With a big company they probably have someone who fields information calls.
Sometimes local businesses, such as spas, or massage therapists are a good option, as your population would be a good match for their services.
Do some research and have data and a focus before you move forward.
Find those products that you like and agree with your philosophy and contact those companies directly. Most of them are looking for places to place their ads in because it could create traffic to their site and help sell their products. The reason I’m suggesting for you to contact companies that are inline with your philosophy is that it will be a much better cooperation and relationship between you and them and also you won’t have to explain to your clients why you carry an advertising of a product that you don’t like in your business space.