I really hope Gyms are still in GTA IV. And the idea of a Dojo is good too. Why not have both?
A couple martial arts styles (karate and taekwondo), boxing, kickboxing, and then have some missions of some nature than involve bar fighting and getting paid.
And a gym to train your body up, not too many regions but you can have upper body and lower body, and then stamina training as well - stamina increases the time you can sprint, stronger lower body increases how far and high you can jump, and how fast you can sprint (but not for how long), and upper body increases your punch strength, weapon aiming, climbing and dangling abilities.
Might sound a little too RPG for some people but I think it's a simple method of adding some more freedom and fairness to the game.