Like zeusmuscle, I go to a gym on that is fairly conservative. The gym is located in a politically conservative and affluent suburban area. The whirlpool, sauna, and steam room are situated within the men's locker room.
Gym rules require anyone using the sauna or steam room to wear a swimsuit/trunks or, in the alternative, to be wrapped in a towel. I am constantly amazed, however, given the predominant conservative thinking in the area- there must be something in the drinking water- at the number of guys (probably 75%) that are naked when using the whirlpool since the gym has no rule requiring that anything be worn when in the whirlpool.
I personally like to be naked in the whirlpool because I like to situate myself in front of one of the jet sprays so a certain part of my anatomy is subjected to a gentle massage by the water coming out of the jet spray. You really should try it some time yourself since it is an absolutely wonderful thing to experience! I definitely wish it were permissible to be naked in the sauna and steam room but such is not my fortune to be as unrestrained as I am in the whirlpool. Maybe some day the gym rules will be changed. I'm keeping my fingers crossed on that!