The Fitness First mega-chain gym is popular for a reason: it's got everything. There are classes ranging from BodyBalance to BodyPump, personal trainers for just about anyone and, of course, that steam room.
Fitness First Kings Cross Platinum (located in Potts Point) is a bougie one, because it has harbour views, and it's located beneath the Coca-Cola sign. Iconic.
Platinum membership gives you access to all Fitness First Platinum and Passport clubs, also.