Babylon and Steamworks in Chicago has to be on most people's top lists. Nothing like being able to sit down to an inexpensive tablecloth dinner when in a gay sauna like at Babylon.
Deutsche Eiche in Munich is one of my favorites in the world because the sauna is really good AND it has a real clean comfortable inexpensive hotel, a fairly tasty and gay popular full service restaurant serving till late at night with bavarian food even, serving things such as Schweinebraten (roast pork) or if you are lucky German liver dumpling soup and a continental breakfast with European meats, cheeses, breads etc. for the hotel guests. Use to stay at the Munich Marriott but instead of hoofing it all the way to downtown it was cheaper, closer and more fun to stay at Deutsche Eiche. It is a little pricey at around 100 Euro a night now but it was even cheaper back when they Euro was .85 to the U.S. dollar.