I think Excel(!) is the best app for tracking gym visits.
There was one I really liked on Android for the gym called JEFIT - really comprehensive and lots of diagrams and videos demonstrating weights exercises - you could e.g. tap a body area on a cartoon figure and it would list exercises for that part.
According to this JEFIT Forum
Windows Phone 7 [Archive] - JEFIT Community Forums
they are looking to do a WP7 version. Might be worth adding your voice to that forum to increase that likelihood.
When I've tried to use an app to record my exercises I kept finding it was taking me a minute to figure out what the app named the exercise before it would let me record something against it! Often it differed from my own name for it, or from the name my gym uses. When you're out of breath and about to collapse
it's the last thing you need.
Personally though I've found the best way is just using a spreadsheet on the phone - i.e. date headings along the top as column headings and types of exercise as row headings. I found with my running and my weights I just wanted to make sure I was (a) beating my previous achievements (times or weights), and (b) balancing my exercises (e.g. not favouring one body area too much). I found using a spreadsheet was actually much quicker to keep track of that than trying to fit in with the way an app wanted me to record my results (and easier to enter when in the gym).
What's lovely about WP7 is the (Excel) spreadsheet functionality is SO much nicer than android - being able to quickly pan around and pinch to zoom is great - if you've ever seen the vile horrific pile of kak that google (or even 3rd party versions) dares to call a spreadsheet app you'll be very glad you've got a WP7! It also means you can (by the built in cloud syncing) easily see the same data on your PC without having to worry whether an app is saving things in a reusable, well backed up, or syncable format.
I agree myfitnesspal is great if you want to track diet, but I never managed to keep myfitnesspal up to date and my main focus has been the exercise (which it doesn't cover very well).
Good luck with your training.
Ian