Ditto what the others have said. The only places that I've encountered non-curtained shower stalls or rooms was adjacent to pools that are pools only (like town swim clubs and the like). All the gyms I've visited had at least stalls if not full curtains and private changing areas.

I generally try to make a point of avoiding bending over butt naked or flashing my nudity in someone else's face. For the most part though, I don't bother to try and stay covered as I dress.

I will say that with the exception of a random older person (or perhaps a European person?), women generally don't walk around bare-naked in changing areas. They will usually hold off putting on makeup or doing their hair until they are at least wearing underwear.