Most people know about the Blue Lagoon but a nicer thermal pool to visit is the Jarobodin Nature Baths (close to Lake Myvatn) in Northern Iceland. The water is clearer and it is less touristy. It seems cleaner too because they don't offer the clay mask in the pool so it doesn't make the water cloudy like at the Blue Lagoon.
It is absolutely amazing how you can step out of the hot baths into the surrounding snow or vise versa! Definitely a shock to your body.