Do use caution when traversing the parking lot. Where do you think most sex-crazed maniacs are at 2:00 a.m.? Probably outside your gym waiting for you to get out of your car. A spritz of mace and a stab in the eye with your car key should do the trick.
Do wear appropriate workout attire. Your undershirt and boxer shorts may seem appropriate at 1:00 in the morning, but it will only cause trouble among the hefty truck drivers currently bench pressing your bodyweight times four.
Do clean off the machine when you're done. This appears to be a no-brainer, but how well is your brain really functioning at this hour?
Do brush your teeth before you come. No one cares if your clothes match or your hair sticks up in wild clumps. However, death-breath is not acceptable even at 4:30 in the morning. If you're too tired, simply eat some toothpaste before you leave home.
Do bring something to read while you're stepping to nowhere on the stair-stepper. Otherwise you'll end up watching infomercials for spray-on hair and exercise in a bottle (and NO, it really doesn't work).
Do put your weights away. Just because club employees aren't there see your little rebellion doesn't mean he won't later track you down, tie you to the lat pull down machine and flog you like the mama's boy you are (or at least give you a good talking to).
Do avoid the sauna. Where do you think that sex-crazed maniac is now?
Do ...take advantage of the empty club to have a little fun with your workout. At this hour, you have the run of the place, so why not try out that machine you've been too embarrassed to use in daylight hours?