Really depends what you feel comfortable doing. But my opinion is that in public you should still dress tzniyus and in private its fine to be untzniyus. The music should still be jewish unless its classical, but I have some friends who once took a gym class in a frum place and danced to this horribly disgusting music that made them move in sick ways. As far as the video you choose, I think it depends how sensitive you are but I would only watch an untzniyus lady if I knew no boys would mistakenly walk in. Otherwise I wouldnt care how shes dressed.
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