Cross, Is she making anyone else's life miserable, or just yours?
In re-reading your message I noted that you mention she is a PART of a group of your friends, all of whom go to the same gym So I was just curious as to whether she practices these irritating ways with everyone in the group - or just picks on you.
If she's an "equal opportunity" abuser, then it seems to me that the others must be feeling the same aggravation and frustration. In that case, maybe all of you could band together and stage a "friendly intervention" of sorts, where you all get together and tell her that you appreciate her friendship overall, and you want to continue to work out together at the same gym, etc.
But that you want to declare your workout time to be a "stress and negativity free zone," (or something equally positive sounding term that you come up with).
Which means that all comments made during your time together have to be positive, supportive and uplifting.
Perhaps you can then make a game out of fining everyone in the group a quarter - or even a buck - apiece, for any comments that are critical of anyone in the group.
Then propose to have the funds generated by any transgressors go to a worthy cause, such as a food bank, or some charity that you all agree on.
I dunno. My idea will take a lot of effort at first, but I think it could force the offending woman to focus on her words before she utters them... And do it in a way in which no one's feelings will get hurt.
Alternately, if she is only picking on you, then you probably need to to flat out tell her how you feel about the things she is saying. But do it privately.
I'm not a pro at this, but it seems to me that you may be able to save her feelings if you approach her PRIVATELY, after the gym session is over. Maybe ask her to help you run an errand, or invite her for coffee.
Then, when you are alone, tell her there is something the two of you need to discuss.
Best if you move into the discussion by focusing on YOUR FEELINGS rather than directly attacking her ACTIONS.
You could do this by saying something like, "You know Jane, when I hear 'why did you buy this,' or 'whatever possessed you to take that action,' it makes me feel like you're putting me down and questioning my ability to make sound decisions. That hurts my feelings."
If you keep the criticism focused on how you feel, instead of saying something like "Jane, why are you are always so rudely criticizing me in front of everyone else..." -- I think you will be able to get your point across without disrupting the overall harmony of the group.
Now, having said that, if there is anyone else out there who is trained in intervention techniques, please speak up! I'm just an amateur!
Good luck, Cross!
Anne