Надо с некоторыми словами, и с некоторыми не надо. Например: I'm going to school, I'm going to work, но I'm going to the gym, I'm going to the store.
Я не могу объяснить по-русски..
1. I'm going to the gym.-- I'm going to a specific gym. You and I know about this gym.
2. I'm going to a gym.-- I'm going to any gym. You don't know about this gym. I also may not know about this gym. I'll leave the house and look for a gym, any gym.