Originally, in a Roman bath house, and specifically there, a moist steam room -- as opposed to the laconicum, the dry heat room similar to the modern sauna. The latter word, however, more or less dropped out of use, while the former (sometimes in the form sudatory) is now generally used for any kind of bath-house sweat-room, including in a Turkish bath. The sūdātōrium means literally "sweating-place," while lacōnicum is literally "Spartan," because it was the only type of hot bath allowed in Sparta (Laconica was the region dominated by Sparta, from whence we also get laconic, for the Spartan habit of straightforward speech without the flowers of rhetoric used by other Greeks).
I spent half an hour in the sudatorium before dipping into the cold-water pool.
---L.