I've come to the conclusion that the absolutely best song for a quality warm-up session on the cross trainer machine at the gym is Stevie Wonder's Master Blaster (Jammin'). It keeps me at just the right speed, and has the right energy.
Early Talking Heads are great for lunging, especially Found a Job, whose lyrics are also a great life motivator.
When a friend asks you what you're listening to at the gym, never tell the truth. One day I was caught listening to Hall & Oates' You Make my dreams, which is gym-bouncy and worthy, but social death.