When I used to go the gym (because lord knows it has been some time), I used to wear makeup. I never really wear a lot of makeup, but I don't go anywhere without my eyeliner. I'll use Maybelline eyeliner, which doesn't really smudge. Then for my eyelids, I'll use a h20 liquid eyeliner. The great thing about liquid eyeliner is that it stays -- no matter how drenched you are in sweat.
When I used to go to the gym with my cat eyeliner, I used to get stares (WHY!?) I don't think those stares were necessary. And I don't think anyone commenting on why I was wearing makeup to the gym was necessary either. Because when I am working hard in the gym, my makeup shouldn't matter. If I wanna look like a sweaty racoon afterwards, then let me be, dammit!
Wear it. Rock it. And then impress everyone with how strong and fast you are!
There is nothing in makeup that hinders your ability to be efficient at the gym. If it makes you feel good, then wear it!
I'd also want to include liquid eyeliner in that list!