Thanks for the input guys. I did tell the gym and they called the police immediately, as my credit cards and other property were stolen also. Funny thing, I told the office that that watch was gift and I estimated the value around $2000. I did have a combo lock on the locker but it apparently was a old, shitty locker and someone forced the door open without removing the lock. Just a word of caution to everyone.
Great suggestions, I guess I'm back in the game for a new watch, or two, just in case.