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Lake Geneva

Sauna and Ice: The Incomparable Combination
In Europe there is a love of the winter swim, especially following a hot sauna. Here in Nyon, at a sauna house on the banks of the lake, these three and another went from sauna to swimming in the icy lake repeatedly in a revolving cycle of heat and ice, heat and ice.

If you happen to be near Nyon, ask the locals how you can get yourself into that sauna on the lakeside. I'm sure they'll help you out. The Swiss are much friendlier than the stories would lead you to believe.
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Nyon, Switzerland