Chicago's 34,000-square-foot King Spa & Sauna calls itself the largest Asian sauna in America, with guests paying just $30 to wander in and out of nine themed saunas. For an additional $5, they can spend the night. Locker rooms feature "marble-clad hot tubs, a cold tub and a steam sauna" and are also the setting for the spa's vigorous body scrubs.

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