Naftalan Bath is one of Baku's stranger spa experiences: a short soak in warm Naftalan oil, imported from the oil-bath town near Ganja. It feels more like a small medical clinic than a leisure spa, and that oddness is part of the point.
This is not for everyone. Go for the cultural curiosity rather than luxury, ask clearly about the procedure before starting, and skip it if you have any doubts about health or skin sensitivity.