I love swimming naked, and have no qualms about being naked in saunas and such. I don't even get why locker rooms are a question, it's where you change clothes. It's not like I'm going to do yoga naked in the locker room.
I'm thinking back to my first time in the Korean baths, and I got a salt scrub. The guests are all naked, the ladies who do your salt scrub are all but naked, and they wrench your legs up in the air while your buck naked.... it was quite disconcerting the first time.