InterContinental Chicago Magnificent Mile

No sauna in Chicago comes with a better story. This tower opened in 1929 as the Medinah Athletic Club, and its junior-Olympic pool — Spanish majolica tile, Johnny Weissmuller allegedly doing laps — still sits high in the building like a secret swimming museum you're allowed to use. The spa keeps two proper Finnish saunas alongside it, and the pairing is the point: real dry heat, then a pool with a century of atmosphere. The hotel itself is a Michigan Avenue workhorse — big, handsome, occasionally worn at the edges — but you're not here for the minibar. You're here to sweat where an athletic club took heat seriously before your grandparents were born.