I have to admit, my recent addiction has to be hanging out in the thermal pools at the local swimming pool. About 10'c outside, a soak in 38'c and upwards is just bliss to re-energise and help you relax. Though the blue lagoon is the more obvious choice, especially for tourists, the local pool at Laugardalslaug is fantastic.
It costs about £3 for pool access (£10 for gym and pool) but I have a months pass and so use the very fancy retina scanner to access. The centre is well equipped with a huge gym, range of workout classes, spa, and both indoor and outdoor pools. The main attraction however has to be the thermal pools, I love this part of the Icelandic culture. Whether rain, snow or shine, everyone heads to the pools to warm up, chill out and relax. A great source of natural therapy, pools are heated at 38'c 40'c 42'c and 44'c with a natural salt water pool at the very end which is extracted from a nearby borehole.
Laugardalslaug opening hours: Monday - Thursday: 6:30 - 22:00, Friday: 6:30 - 22:00, Weekends: 8:00 - 22:00