Steamworks Baths Chicago is such a nice gay sauna. Membreship is quite cheap (7$ for the monthly membership). They have everything you need: a gym if you want to start smoothly but also several hot tubes (which is just the best to me), 2 dry saunas, steam room, many play areas to play in private or in public, glory holes etc.. The place is very clean, the staff is doing a great job. Very diverse crowd, with lot of hot guys coming here, it can get very busy. There are special themed nights, check their website to see what’s going on.