YOU NEED ALL new workout clothes,” a trainer told me back in 2009. I’d just joined a swanky New York City gym with an unspoken dress code. My baggy yellow T-shirt and electric purple tights clearly did not comply. Embarrassed by me, for me, or both, he suggested I visit Lululemonan outlet of the now-ubiquitous lifestyle brand—where I bought an all-black outfit comprising leggings, a tank and a sports bra. I headed back to the gym and blended right in, like a sweaty, goth lemming.

Recently, I wore that same get-up to a Pilates...