I'm a big fan of Firuzaga hamam, on the corner of Bogazkesen Cd and Cukurcuma Cd just down the hill from Galatasaray high school. It's small but lovely, built in 1445 and very authentic, and much cheaper than the touristy ones at only 40 TL for a scrub and oil massage. I love taking my female friends during women's hours (9am-5pm M-F), but on nights and weekends it is very much reserved for gay men... something I learned the hard way when I sent an unsuspecting (straight) male friend who had a rather scarring experience!
Friends have also recommended the Aga Hamam, also in Cukurcuma, which apparently you can go into as a mixed group (useful if you are a couple/group of friends of both genders). I haven't been but I look forward to checking it out.