I've been going through your steps, and I'm worried that I'm creating a LOT of pages.
Well yes, every series is a page, every week is a page and every day is a page. This is to get pretty urls (workout/serie/week-1/day-1) and later we can query the weeks of a series or days of a particular week from a series etc..
I am concerned with the approach outlined above that I'm creating a lot of PAGES that will make for a very very long navigation menu? Or have I misinterpreted?
That depends what you put in the menu, only series or series and their weeks, or series with weeks and days. Right now all pages get automatically added to the "Header Menu". Look under wp-admin > Appearance > Menus to create your own menus.
Try creating the menu you want, and for the "series" menu item add a "Custom Links" menu item with the url "http://www.cfote.com/workout/" and label "series" to the "Header Menu.
You don't have to create a page called series
1. Create a new (top level)(series) workout page, "Endurance"
2. Create a new workout page, "Week 1" with parent "Endurance"
3. Create a new workout post, "Day 1" with parent "Week 1"
- week 1
-- day 1
Add the endurance page to the "series" menu item in your menu.
I noticed the breadcrumb needs one more layer. Is this something I do in the template.php file?
I will look into it.