If you really want a stronger lock I presume the main limitation is that, in my experience, there's a maximum thickness the locker design will allow for the loc

If you really want a stronger lock I presume the main limitation is that, in my experience, there's a maximum thickness the locker design will allow for the lock. As such it's generally trivial to break the lock with a bolt cutter. I think that's actually a feature, the gym owners want to be able to open the lockers if a member loses their keys or simply locks one of the lockers and then never comes back. So I think you should simply consider going to a better gym? Seriously, that sounds pretty terrible, I've never had any issues in any gym I've been to and I'm not exactly paranoid either (sometimes I'd forget my lock and leave my stuff unlocked and never had any problem).