Helsinki's fantastic Uimahalli sauna and (inside) swimming pool complex is tucked away on Yrjönkatu, a short walk from the main railway station and the center of town.
At five euros for a single visit, it's one of the cheapest—and most authentically Finnish—things you can do in this otherwise expensive city.
The sexes alternate between the days—Monday, Wednesday and Friday are for the ladies, while Tuesday, Thursday and Saturday are gents' days. Sunday's split between the two, with gents from 8-9 in the morning and ladies for the rest of the day.
Leave your swimsuit at home (you can swim with yours on, but be daring and bare it all)! Your entrance fee includes a towel, and then you hop in the shower to rinse off before steaming along with a dozen or so of your new closest Finnish friends in the saunas.