I just went to a “bath house” and it was wicked. I’d never gone to one before, so I didn’t really know what to expect. I thought it would mostly be lounging in hot rooms and pretending I was relaxed. What was it actually? TONS OF POOLS! Outdoor ones, ones where you can take your drinks into, ones that have tons of different underwater mechanisms to relax your muscles, etc. There were also a ton of saunas, which I managed to enjoy after a little while. The outdoor pool was the best part of it all, in my opinion.
The place I went to is in College Point in Queens (Spa Castle), which is probably closest to the last stop on the 7 train (and the place has a shuttle that runs to and from that subway stop). Definitely worth the trip, even if you don’t live near there.
If you live in New York, and you aren’t currently at this establishment, well, that shocks me. Only because you’d be doing yourself a disservice by not going. It’s $35 for a weekday and $45 on weekends.
UPDATE: There's a new location opening in Manhattan, you can find more details here.