(Listing updated 6 months ago.)
Sauna Principe fills in the afternoons with Madrid's most stunning men, most of them friendly and eager to enjoy the facilities. Your entrance fee gets you a locker, but the private rooms are free for anyone to use. There are also common areas (including a bar), dark rooms, a downstairs play area with videos, a hot tub, a steamroom and a sauna, and a shower room. I've had nothing but a marvelous time (or two or three) whenever I've gone, and often walked to the bus with a new friend. The older crowd leaves early, so get there well before closing.