When I'm at the gym to just lift weights, I am not as concerned about what I am wearing. Usually it will be a fitted T-shirt and long pants. My pants will be more of a "yoga" style pants that are stretchy and more form fitting on top and a wider leg at the bottom. I also like pants with a draw string because I've been losing weight lately (good thing), and I've noticed that they help keep my pants up.

The other thing that I am picky about are my gloves. I have long, slender fingers, and I don't want callouses. It's sometimes hard to find gloves with the half fingers that are long enough to cover to at least the mid-finger length.
When I am doing intensive cardio like running, that is when I am much more picky. Dri-fit tops by Nike are what I wear on top. I'm not as picky about pants/shorts, but I am very picky about socks and shoes. Dri-fit socks with a thick, cushy padding on the bottoms and running shoes specially fitted for my arch and foot type.