Gyms are an unknown place, but at swimming pool it is:-
go into cubical and then I can dress without fear of Mumsnetters watching me.
If you are really interested-
pants, trousers, top, jumper, socks, shoes, bra, top, knickers, trousers, one sock, one shoe, other sock, other shoe.
Only cos pants, trousers, top, jumper, socks, shoes is somewhere between unrequited b/f love and testosterone surge so have to cover up top, he doesn't care about the lower half! Oh and sock shoe is only in wet places, you have to be adaptable.
Generally I reckon knickers come first because pre puberty that's the only thing to cover up quickly.