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Open Radio Access Network (RAN) architectures will enable interoperability, openness and programmable data-driven control in next generation cellular networks. However, developing and testing efficient solutions that generalize across heterogeneous cellular deployments and scales, and that optimize network performance in such diverse environments is a complex task that is still largely unexplored. In this paper we present OpenRAN Gym, a unified, open, and O-RAN-compliant experimental toolbox for data collection, design, prototyping and testing of end-to-end data-driven control solutions for next generation Open RAN systems. OpenRAN Gym extends and combines into a unique solution several software frameworks for data collection of RAN statistics and RAN control, and a lightweight O-RAN near-real-time RAN Intelligent Controller (RIC) tailored to run on experimental wireless platforms. We first provide an overview of the various architectural components of OpenRAN Gym and describe how it is used to collect data and design, train and test artificial intelligence and machine learning O-RAN-compliant applications (xApps) at scale. We then describe in detail how to test the developed xApps on softwarized RANs and provide an example of two xApps developed with OpenRAN Gym that are used to control a network with 7 base stations and 42 users deployed on the Colosseum testbed. Finally, we show how solutions developed with OpenRAN Gym on Colosseum can be exported to real-world, heterogeneous wireless platforms, such as the Arena testbed and the POWDER and COSMOS platforms of the PAWR program. OpenRAN Gym and its software components are open-source and publicly-available to the research community. By guiding the readers through running experiments with OpenRAN Gym, we aim at providing a key reference for researchers and practitioners working on experimental Open RAN systems.