When I was single, I went. They were OK, and the one in St. Louis was well run and maintained (or at least it used to be). It can be very erotic, or it can be a bore--depending on your mood, expectations, and who happens to be there.
Know that the underlying assumption is that you're there for sex. BUT, there is NOT an underlying assumption that you will agree to sex with just anyone. It's perfectly fine to politely decline someone who doesn't interest you.
They all vary, but usually you are given a choice of a locker or "dressing room." The rooms have a crappy bed, usually, and some linen. Men usually walk around in various forms of undress, but typically with towels wrapped around themselves. Wet areas (saunas, steam, hot tubs, showers, pools) are almost always nude. Most have nude sunbathing available too, which is nice.
Many have TV areas, snack areas, smoking areas, and some come with "theme" rooms such as dungeons, role-play, etc. You just walk around, make chit-chat, day-dream, relax, do this or that, and if the right person and mood strike, have sex.
The clientele varies widely from time of day and from site to site. Some cater more to the younger crowd; some to the older crowd; some to the married crowd. My experience was that all crowds showed up eventually, and you got to know the prime time for the various populations.
While the sex is easy, and certainly safer (legally) than cruising parks, johns, and bookstores, it's always prudent to keep your head screwed on straight and practice safe sex. The last thing you want to do is get lost in the moment and do something that goes against your better judgment.
Good luck! If you go, report back and let us know how it went.