This is taken from the slang term for Pyjamas - JimJams - but is re-applied using the word Gym instead.
Gym-Jams are items of clothing that you initially purchase as expensive shit for looking good at the gym, but end up using as pyjamas. Usually the items start out being used at the gym, then as they start to fade and become a bit crappy looking, slowly become relegated into schlepping-around-the-house gear, then into fully-fledged jammies.
Girl - I forgot my bag in the car - can you go out and get it for me? I'm not dressed properly.
Guy - why don't you go? No one will notice cuz you're wearing your Gym-Jams.
A song that you listen to whilst working out, a song that gets you pumped up for/in the gym and one that you always listen to whilst 'pumping iron'!
The gym jam is also the song used my athletes to focus before a game or event.
Chase: Hey, what song you listening to?
Ash: Footloose from the movie of the same name!
Chase: Yeah booooi, thats one of my gym jams, whooop