For some reason this reminded me of Neoborn...
The word "gymnasium" is a derivitive of the Greek word "gymnazein," which means to exercise naked (or perform naked), which often was done in ancient Greece. The Greeks' version of the gymnasium was a place for men to go and play sports. Why they would want to be naked with a bunch of other men is beyond me, but I think they were on to something, at least with the exercising naked part.
People in the Netherlands are doing it on Sundays at a particular gym.* The exercise bikes have disposable covers, and people are required to sit on towels instead of directly on the equipment.
Don't worry, I'm not trying to convince anyone to exercise naked in public. I'm not sure that's legal in this country anyway, what with the prohibition of indecent exposure and all.
But in the privacy of your own home (or with a partner; that's up to you), I think it's a good idea. You don't have to worry about shifting clothing, shorts riding up, etc. You will have fewer external distractions. Of course, some forms of exercising do require support, but you can at least minimize the distractions and maximize comfort with minimal clothing.
I've actually found that I can exercise longer when naked because I stay cooler. Sweat dries off skin faster than it dries off clothing, thus cooling you off faster.
One extra perk is having to do less laundry. I wear suits to work, casual clothing while relaxing at home or going out, and pajamas to bed. Why would I want to throw in an extra outfit (including undergarments... who wants to work out in a thong and underwire?) in the laundry pile three or four times a week?
Exercising naked helps you stay more attuned with which body parts you need to focus on while working out (i.e., the part that jiggles the most). This can help you customize a workout program that is more beneficial. Progress is made, or you are more motivated to keep going until things stop jiggling. And you can hop into the shower quicker post-workout.
*Fitworld gym in the town of Heteren during "Naked Sunday"