I was on very different properties of people with "veery big pockets" :D. Some of them don't even have a really big house with all this fancy stuff, but live in a smaller house on the countryside with a lot of land around. One family had this adorable adobe style house which was very nice and the had several horses where the horse stables were just behind their proper house. The property was so special because a long time ago the family bought a castle and it's on the same property where they live. Actually, they build their house after they bought the property with the castle.
The other estate I remember was a very big and modern villa. The design impressed me a lot, because it combined the modern, high-tech "world" with some more traditional architecture. They had also stuff like you mentioned above...sauna, swimming pool, a really nice entertainment area with this huge TV, chilling area etc. If I would have the money, I personally would prefer now the second type of house, but maybe, with the years the first one (nature, countryside...) will be more interesting. Now, this is just in the phase of daydreaming :D