CHICAGO - bathhouse/saunas etc?

Hey guys - I'm going to Chicago and NYC in the next month and wanted to try out some of the big city saunas/bath houses etc. I have never been to one and hear opinions that range from awesome to terrifying - so I'd like to give one or two a try. I've heard good things about Steamworks in Chicago...any others both there and NYC? I mean, having a gym, pool, jacuzzi and play rooms all in the same spot - sounds dreamy!

Has nobody been to a bathhouse? I'm not pressuring anyone to go to one...but if you have been pls pipe up! Thanks again...I've had one message which was incredibly helpful.