I remember the Conan O'Brien Finland travel special from a decade or so ago (oh, geez, it was 2006... time flies). He went to a bathhouse (correction, it was a sauna, there is bathing involved but it's in the frozen Baltic sea) and, if I remember correctly, the custom after you're finished bathing and sauna-ing was to drink milk and eat a sausage.
I time coded it to the Sauna scene. Mildly NSFW (very pixellated male nudity, but this was broadcast on NBC so it's nothing explicit, just weird).