For obvious reasons, a water bottle is a must. I currently use the liter sized BKR bottle but I will say that they are rather large. If you're looking for a more compact bottle, I recommend Swell.
I always carry a facial mist with me when I workout. Nothing feels better after a sweaty group fitness class than spritzing your face with a relaxing mist.
Face wipes are great for the gym since they're more low maintenance than a micellar water or other cleanser. They make it easy to remove my makeup quickly, without any mess or leakage in your bag.
Another obvious choice! I'm in the natural deodorant camp but I know that some people find that hard to adjust to. I'm just not comfortable taking the risk of using aluminum products long term. Agent Nateur is a great natural brand---it's healthy, but it smells and feels luxurious.
Forgetting your headphones at home on gym days is not fun. Gym soundtracks often don't cut it....I need my own custom playlist, so I'm trying to have a second pair of headphones that permanently live in my gym bag.
I don't workout in the morning so I have no need to look super put together after a workout. But usually, I'll go to the grocery store or run errands afterwards so I like to feel and look at least presentable. It's easy---I just use a bit of dry shampoo to create the perfect texture for an unsweaty top knot.
Rather than bringing an entire bottle of fragrance, I will buy a rollerball version of my favorite perfume or just bring one of the samples I get with my Sephora purchases.
I tend to bring along a pair of compression socks if I'm going to be running that day---I have a great pair from Sigvaris. These are good for reducing swelling and muscle soreness in your calves, which (side note) also make them great for long flights.