Well the options suggested here are fine. However, if you want to try something unconventional, I would recommend the Therme in Vals, Graubünden.
http://www.therme-vals.ch/en/
It is not the closest place to ZH, but you can make it for a short week-end or even one day (but you would spend lot of time on the road). The true good thing about it is the design of the place and the location, in the heart of the mountains. Really wonderful.