This is both a general and specific question about gym pick-up.

Is there any good strategy to doing this? I go to the gym almost every day, and I see quite a few hot girls there that I'd love to talk to, but it seems difficult, with headphones, wanting to work out, etc.

I've only ever opened like 2-3 girls at a gym, and that was like a year ago. I did pretty well but ejected quickly from the set because I didn't know what to do after.

And then the specific -

There's this one REALLY cute girl at the gym, I want her SO BAD. She only comes in on Mondays, and she's always a part of some personal training group, otherwise I would have already approached her. How do you open a woman who is only in the gym once a week, and ONLY with a group of other people, doing group exercises? I've considered figuring out what class or training session it is, and signing up myself (I don't really need personal training, but it couldn't hurt). I've considered just walking up, doing an exercise close to her, asking her her name, and then for her number after making her laugh, but it seems difficult and high stress to do so, especially when she's with a group of peers working out.

In your case since you know what she normally does at the gym just go and ask for tips on whatever their group activity is about. Key here is to be able to push the interaction longer and make it as enjoyable as possible.

_________________
My amazing blog http://puareality.blogspot.com/
INCREDIBLE amount of knowledge that will help you improve your game

A. remember the 3 second rule (aka the no brain no pain; no balls no gain rule) => your overthinking this! "I want her SO BAD" => she will notice when you try to talk to her after staring her down for the past few weeks... look at your hands, feel the power, look at her silly gymoutfit, make a comment about it; go! you'll have your work cut out.

B. The answer to your question on how to do it is inside the question itself:

"She only comes in on Mondays" => how about an approach on monday then; here is some inspiration

http://www.youtube.com/watch?v=IQoijFax5Ic