There are two basic approaches to gym bag selection: The minimalist approach and the "everything but the kitchen sink" approach. I tend to lean toward the latter. I spend so much time exercising that my bag needs to be large and roomy, should be able to double as a work bag, and should be able to keep my stuff safe and dry.
Large duffels like the Incase EO Duffel work perfectly. This bag features weather-resistant panels, a padded sleeve to store a laptop (just in case), and lots of space to take on shoes, clothing and toiletries. It also comes with a removable shoulder strap so you can easily carry it with you. The clean and simple lines also don't scream "gym bag!" making it a more versatile everyday option. Just keep in mind, this duffel-bag approach allows for lots of storage, but doesn't always provide as many pockets. If you're the "there's a place for everything, and everything in its place," type of chick, consider getting some type of organizer cube set to keep your items separated.
On the other hand, the minimalist approach to gym bags is a good option if you hate carrying a lot of stuff with you. Smaller shoulder bags, like Livewell 360's Accel, provide sufficient space for the basics, lots of pockets for organization, and a few gym-specific features that are really nice. For instance, removable attachments for carrying a yoga mat, roomy exterior water bottle pockets, and an adjustable interior pocket for organization. Of course, there's not as much space overall, so depending on your specific needs, this may not be the option.