Treadmill.
If I want to go to the gym and try treadmill.
Should I say" I go treadmill."
Or "I go on treadmill"
What about " weight training" "stretching" "

Question

Treadmill.
If I want to go to the gym and try treadmill.
Should I say" I go treadmill."
Or "I go on treadmill"
What about " weight training" "stretching" "

Answer

"Treadmill" is a thing, so use: "If I want to go to the gym and try the treadmill."

Answer

YaMei, 

I do treadmill......or I do the treadmill.....or I use or (go on) the treadmill ...or I run on the treadmill.
I do weightlifting.....or I lift weights. 
I do stretching......or I do stretching exercises....I do stretches.... 

I want to....do, use, or run on the treadmill.  I want to go on the treadmill.
I want to lift weights...I want to do weightlifting....I want to do some weighlifting. 
I want to stretch.....I want to do stretching....I want to do some stretching.