Ribersborg beach life, Malmö
You can't go to Sweden and not have a sauna. Visit the Ribersborgs Kallbadhus, which is a listed building, and sit in the sauna enjoying the view out over the sea. If you're feeling very brave (which I wasn't given that the temperature outside was -1 amd there was snow on the boards!) you could take a plunge into the sea to really wake your circulation up. Afterwards you can relax in the cafe at the front of the building.
(NB - men and women bathe separately)
Ribersborg is Malmö's haven both summer and winter. In winter it is quiet and the kiosks are closed but you will still find people out walking on the ice if there is any or going for long walks with their dog, admiring the sea view. You will also find people going for a winter bath (!) in the bath house (with a café) on the pier in the picture. Summertime, people have picnics on the beach and families sunbathe or play. Don't worry, there is space for everyone as this beach is huge. Only 15 minutes from the Central Station this is a true gem for the soul. Click on the second picture to see it in summer, with the Öresund Bridge in the background.