Located next to Hetke Living accommodation establishment in Haven Kakumäe, their onsite sauna and bathing complex has a lot to offer. Apart from the high-tech, and Estonian innovated Huum 'oven-heated' sauna and partially one way glass facing the harbour (where the main show is outside, but depending on the light ... well, you'll need to 'see' for yourselves), there are 3 wood-heated hot tubs with varying temperatures (beware of the lobster-cooking one), a cold tub, a firepit, more than enough places to chill and a changing/washing facility that is more like a nice hotel room than the those usually found at rental saunas. This one fits about 10 guests, has a fantastic waterfront view, a convenience store and eateries nearby, as well as the possibility of jumping in the sea - which, depending on time of year might be a very 'fresh' experience. 
There are 1.5 hour public sessions available on the weekends (admission €20) and you can also book private sessions. Check the website for details.