Decorations
Hang streamers and pompoms from the ceiling.

Invitations
Make the invitations from card in the shape of a tennis racket or other sport theme that the bride likes.

Gifts
Workout clothes, certificates for a health club, tickets to a game, sports equipment, health food cookbooks.

Games and activities
Everyone must bring an exercise video, book etc.. or any exercise games that they can think of. Twister is a good and fun game for this theme.

Favors
Whistles, small pompoms, water bottles.