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.