As far as fashion goes, I prefer wide wrap-around hijabs, and large square hijabs, and not the one-piece or two-piece amiras. For modesty, I prefer hijabs large enough to cover my chest. And for comfort, I dislike polyester and prefer lightweight, breathable fabrics.
But when I go to the gym, fashion gives way to practicality and comfort, and I found a winner! Just recently I bought a one-piece cotton hijab from a vendor at the mosque. It cost me about $10, but I have worn it almost every single time I've worked out since I bought it. (Yes, I wash it.) And I'm going to need to buy another one, I think. (looks like this.)
It's so easy to wear, light, doesn't slide around, no pins, no bunched up fabric around my neck. It's not going to be easy working out in July heat (even indoors) in full covering, but I've gotta say that these kinds of hijabs do make it easier.