Do you gain weight going to the gym?

Well, working out with weights actually doesn't use up that much calories, but it does tend to boost your appetite. One explanation can be that you're simply overeating. Another possibility lies in the fact that muscle is heavier than fat, so if you're gaining muscle at the time as you're losing fat your weight can increase. If weight loss is your goal you should be doing aerobic exercises, stuff that gets your heart rate up a bit for fairly long sessions.