A place Gay won’t go unless he has to? The Skirvin Hilton Oklahoma City. “I have a story from my rookie year,” Gay says. “You’re not going to believe it, but I’m telling you it’s the truth. I heard it was haunted but I was in my room and I went to sleep the night before a game with my clothes on just in case I had to get the hell out of there real quick. I woke up and there was a room service tray sitting in front of my bed. I promise you I did not order room service. I ran out. Luckily, it was right before the game, so I just got my stuff and sat at the bar until it was time to go.”