after experiencing a lot of breakage with ponytails, i now pin my hair in a bun. and i run at the gym and it still stays in place. i use about 20 good quality bobbypins with the double coated ends (from Sally's)
my hair is soaked by the time i leave. if i can't wash it that same day, i use a satin scarf to tie it down before i leave. this compresses the edges so that it's somewhat of a polished look.
it's working out pretty good so far. i workout 3 days a week and sometimes go to the library afterwards. i'll wear my scarf over my head and put my jogging suit hood (hoody) over it.
eta. the only reason i don't wear a scarf during the workout is that it holds in heat. i also sweat like crazy and it would probably fall off.