I don't think you're being ungrateful- nobody wants to have crazy hair and sweats on at their shower. Maybe ask your husband to make sure the ruse to get you out of the house is an excuse that would prompt you to dress nicely (i.e. going to lunch or dinner, NOT let's pick up the dog from the groomer). This wouldn't really ruin any of the surprise, and I think your hosts would understand not wanting to show up in gym clothes.
My bridal shower was supposed to be a surprise but DH spilled and told me ahead of time. It was nice to know so that I could look decent, but then I had to pretend like I didn't know about it and that was kind of awkward. I've never been surprised by anything before (I even knew when DH was going to pop the question)...so I was a little bummed that there was supposed to be a surprise for me and then it wasn't.
However, I would be totally fine if someone threw a shower for me and it wasn't supposed to be a surprise. I was just kind of sad that it didn't end up being the surprise it was supposed to be. So, I agree with pumpkin.