What are you looking for? You don't say if you BB, powerlifting or just getting fit.
Serious gyms below
Haven Gym, Haycroft avenue
Spartana Health Studio, 419 Cleethorpe Road
If you're looking for something more general
Everyone active is good, gets you in 2 leisure centre gyms (Grimsby, Cleethorpes) Athletics stadium gym and swimming pool gym, also include free access to pools and loads of classes if spin bike, body pump etc are your thing.
Another good general gym is La Vive, Meridan Point, Kings Road, Cleethorpes. Good quality, nice surroundings.