I've just come across this article entitled Rules of the Naked Gym: Change-Room Etiquette which starts off with:
"Everything I’ve heard about men’s locker rooms leads me to believe they are very naked places: bare asses, towel whipping and nonchalant showers ensemble after the squash game. It’s part of the male bonding experience at the gym—or so I’ve been told."
I changed gyms a couple of years ago from one where guys were OK with walking around naked to one where it doesn't really happen. In fact its quite unusual for guys there to shower after a work out and in all the time I've been there I've probably only been in the showers when someone else has been in there a couple of times. I've never seen any towel whipping - not sure where that goes on!
The other thing I've noticed is that a lot of guys work out in their ordinary underwear or without anything under their shorts/tracksuit.