World's Worst Cultural Mistakes
Where It’s Offensive: Scandinavian countries, Turkey.
What’s Offensive: Wearing bathing suits, shorts and T-shirts, underwear, or any other piece of clothing into a sauna, hammam, or other place of physical purification. In some cultures, a steam room or a sauna is considered a place of purity and reflection, where the outside world (i.e., your clothes) should be left outside. In some Scandinavian countries it’s common for entire families to sauna together in the nude.
What You Should Do Instead: Sitting on a folded towel is considered acceptable. If you’re too modest to appear naked, strip down, but wrap yourself in a towel.
From the article World’s Worst Cultural Mistakes