I usually wear black, slim fit sweat pants, in shape similar to those posted by SoCalledPrep. For tops I wear black t-shirts. I try to avoid colours where you can easily see sweat, and I think black works the best. You won't look frumpy either, which can happen with some work out clothes.
Lately I have been seduced by Stella McCartney's range for Adidas. I think the dusty pink looks harmonyous, but I don't think they are very practical though. Came across to some McQueen for Puma trainers last weekend, and those looked quite neat too.