hey, i was in hefei for 6 months, it was a really crazy time and a crazy city... its a really nice place... i don't if they are still opened look for HOKAY Gym 浩泰健身 (hao tai jian shen) it was a really cool gym, good bathroom, good training equipments
there is the university of science & tech, their gym is nice too, i think its for student only...

The best gyms you would probably find are gyms at universities or big schools. If they have the california gym which is really popular in most cities that could be the best one out here. The fitness people or personal trainers actually look fit. And I saw a basketball court and classes going on last time I looked in there. To bad the renaissance spa isn't here!