In 1987 I had my first Banya or Russian bath at the above location in the East Village of NYC. It became a cherished ritual on my days off from work and still stands out as one of my favorite New York experiences. 

                             

Heating up the body is good and here's why:   

1. to increase muscle flexibility

2. to release toxins through sweat

3. to increase heart rate

4. to enhance vasodilation (strengthening your immune system)

5. to speed up breakdown of glucose and fatty acids (helps with weight loss)

So, don't be afraid to sweat, in fact try to sweat each and everyday, it's that good for you. 

And if you travel to New York City and want to embark on an unforgettable mind/body journey, I highly recommend:
http://www.russianturkishbaths.com/enter.html