I am a big fan of the Phoenixbad
in Ottobrunn. I think they have 9 different Saunas; Finnish, aromatics, etc., plus steamroom, indoor/outdoor heated pool that's open all year (even in winter), hot tub, a sonnenstudio, a decent restaurant, and offer all kinds of theraputic services - massages, etc.
The Sauna area is separate from the public areas, so it's discreet and you can feel comfortable being totally naked. The patrons are diverse ages and nationalities, but all seem pretty easy going.
Give it a try. 4 Hours sauna is about €12 I think. No other entry fees.