A baby gym will help your baby learn to reach, roll and grasp, as well as stimulating visual and aural development. You can use them from day one. A baby gym doesn't need to be complicated; make your own with a stick balanced between two chairs.
The main thing to remember is that like a mobile, the objects you hang from the gym need to be high-contrast (ideally black and white), and not too far away. Varying the positions you hang things in is also helpful in developing midline play, where the hands come together in the middle. Move a favourite toy to the side and you’ll encourage rolling.
The best baby gyms are separate from the play mat, so that they can be easily moved to a convenient position. If you are buying a pre-made one, a bar that can be raised and lowered as your child grows is useful.