All the outstanding Korean saunas I've experienced are outside of Seoul (Busan, Gwangju, Gyeongju, Jeonju,Jinju) but for spa type places in general the ICN Hyatt Regency is a good first or last stop in Korea.

The Gangnam long distance bus station has a good 70's retro style Korean sauna in the basement (next door to Marriott) but I would not necessary go out of my way just to visit.

Maybe someone else would know if the COEX mall or other Gangnam/Teheran Road area places have good saunas?

Prices for saunas are as low as 3000 won elsewhere in Korea and maybe 6000 - 10.000+ in Seoul. The Hyatt and other prime spas are more expensive.