You need to make sure that you use a massuese who is trained in prenatal massage. You need to avoid the jacuzzi and sauna. The high temperatures can raise your body temperature and cause problems wtih the fetus. As others have mentioned, many spas will offer a maternity or prenatal package.
Spa should be fine, but not a sauna or jacuzzi. You can't raise your body temperature too much. Your doctor would be able to advise you on it.
Yes you can have a massage but they need to know your pregnant. I went to a mama spa and it was fantastic. I dont think they recommend a sauna aor a jacuzzi, I know my Dr told me to make sure my baths werent to hot so thats why I am guessing no jacuzzi.
There are places that offer maternity packages. I went to the spa 3 or 4 times while pregnant. It's amazing and sooooo relaxing! Just look through the services on the website or call and ask if they have a maternity package.
(The one I went to had a masseuse who was trained specifically for preggo women.)