Activity logs collected from wearable devices (e.g. Apple Watch, Fitbit, etc.) are a promising source of data to facilitate a wide range of applications such as personalized exercise scheduling, workout recommendation, and heart rate anomaly detection. However, such data are heterogeneous, noisy, diverse in scale and resolution, and have complex interdependencies, making them challenging to model. In this paper, we develop context-aware sequential models to capture the personalized and temporal patterns of fitness data. Specifically, we propose FitRec - an LSTM-based model that captures two levels of context information: context within a specific activity, and context across a user's activity history. We are specifically interested in (a) estimating a user's heart rate profile for a candidate activity; and (b) predicting and recommending suitable activities on this basis. We evaluate our model on a novel dataset containing over 250 thousand workout records coupled with hundreds of millions of parallel sensor measurements (e.g. heart rate, GPS) and metadata. We demonstrate that the model is able to learn contextual, personalized, and activity-specific dynamics of users' heart rate profiles during exercise. We evaluate the proposed model against baselines on several personalized recommendation tasks, showing the promise of using wearable data for activity modeling and recommendation.