When it debuted, Drift Spa at Palms Place was Las Vegas' first hammam, which the official blurb describes as "a co-ed enclave recalling the traditions of a Turkish bath," with amenities including several steam rooms, plus saunas, whirlpools, and cool plunge pools. Now we also have Sahra Spa & Hammam at Cosmopolitan, which features a eucalyptus steam room, not to mention a "serenity lounge" and "monsoon cave."
While Drift is aiming for the traditional Turkish-bath experience, Qua Spa at Caesars is modeled after a Roman bath house, and in addition to the not-necessarily-authentic Arctic Ice Room (where you'll be treated to invigorating snow flurries) and the Crystal Room (where you and your friends can have your bodies adorned with sparkling designs), features a herbal steam room and a cedarwood sauna, plus personal hydrotherapy tubs, wet rooms, tea lounges, and a barber spa.
Other hotel spas we know of that feature a steam room include Encore, Wynn, THEbathhouse at Mandalay Place, Mandalay Bay, Vdara (a eucalyptus steam room), Aria, Costa del Sur Spa at South Point, and Aquae Sulis at JW Marriott (a great and reasonably priced spa, for which we have a $50-off coupon in the 2013 Member Rewards Book).
If you're in the downtown neighborhood, check out the non-casino Imperial Health Spa (1070 E. Sahara Ave.), a Korean spa featuring dry saunas, including the red clay ball room, heated crystal, and salt rooms, plus herbal steam room, a newly added ice room, plus hot, warm, and cold whirlpools, and co-ed areas. Oh, and it also has a movie theater and serves Korean food! We hadn't heard of this facility until we researched this question, but it gets glowing reviews on Yelp.com and sounds like the all-round perfect hangover cure, at prices that are way more wallet-friendly than many of the options mentioned above.