I'm a huge fan of Urban Sweat at Raffa Yoga. It's got a eucalyptus steam room, salt room, turmeric room, charcoal room and traditional sauna - all varying degrees of heat. In the main room there's bean bags, water beds, and massage chairs. They also provide spa water so you can stay hydrated in between saunas. Very relaxing and you can stay for a chunk of time! If you book a massage, you also get the urban sweat experience included.