Spas and spa etiquette vary greatly. Much depends on the services and amenities offered. Some are essentially just a common waiting area with individual treatment rooms. Larger spas (like in Vegas) with saunas and cold pools, etc. have separate facilities for men and women. In either case you can usually get "couples treatment" allowing you and your spouse to get a massage or "ritual" together, but it can get very expensive! Most say they are "clothing optional" but people generally wrap themselves with a towel. In most of these places you will look out of place if you walk around starkers or if you wear a bathing suit/shorts everywhere, so the towel is usually the best option. It's always advisable to shower before a treatment.

Europe, especially Germany, can be very different. If you go to Baden-Baden, home of some of the oldest and best spas in the world (IMHO), men and women frequently spa together and everyone is naked. And nobody cares. It's a bit of an adjustment for us Americans, but you get with the program pretty quickly.

My wife and I used to spa much more but we've found that the prices have gotten way out of hand, at least in places such as Vegas and Hawaii. Two massages can easily set you back $400 or more (much more in high-end places like Wynn). Some of the larger spas used to offer "facilities fees" whereby you paid $40 or so for access to the saunas and facilities without getting a treatment or massage, but many have stopped offering that option. But going to a spa can be a great experience that you should try at least once. You can always ask what the clothing etiquette is, and most will give you a quick look around before you commit so you can get an idea of what the place is like.