For those who do not have "wash and go" type of hair nor the budget for hair extensions, then I wanted to piggyback on Nicole Chaplin's suggestions. A third option from my client feedback is the flat twists option.
I took these pictures from the Design Essential Natural Textures Styling Brochure.
Essentially, before any "intense workout," flat twist your relaxed hair. Two strand or Three strand twists both work fine. As your hair gets wet from the workout, it wet sets the whole head. Let it dry and then undo the twist set to achieve wavy hair.
My clients that participate in Bikram yoga, hot yoga, and other intense workouts have found the flat twists the best long-term styling option for active workouts. The final wavy look can be twisted into an updo or a ponytail with a textured look.
In regards to Nicole Chaplin's extensions suggestion as a workout hair option, please remember that according to Chris Rock's Good Hair movie, some guys view hair extensions as high maintenance and limiting as far as riding in a convertible as well as participating in outdoor activities. Therefore the flat twists may look a little masculine for workout purposes, but they deliver a very feminine finish.