The kalldbadhus (Cold bath house) is a wonderful, bracing and healthy way to get into Scandinavian lifetstyle. For the less adventurous they often feature cosy cafes. Quite simply you swim in the sea, whatever the weather, (even if you have to break the ice!) then warm up in the sauna afterwards. It has been described as a workout without the work because of the endorphins that are released. The Swedes refer to the experience as a full body massage.
Stockholm has a beautiful looking new cold bath house on the way. It's in a central area and looks to have a stunning design.
Malmö has a kalldbadhus dating from 1898 which features a wood fired sauna and panoramic windows over the oresund sea and to the turning torso.
On the other side of the Oresund sea is Kastrup bath house.