Yes, no and Yes. (There are no bathhouses in SF proper.)
Adult bookstores can be found in almost every neighborhood, but some of the more popular ones can be found on Folsom St (2 across the street from each other at about 5th St - Folsom Gulch and City Entertainment) and on Bay St (called Video Secrets, I think)
There's a number of theaters as well - Nob Hill Theater (on Bush St) and Tea Room Theater (on Eddy, I think).
None of the bars have official back rooms. Sometimes, there is play on the patio of Powerhouse or Eagle, but it's hit or miss.
There are a couple of sex clubs as well - Mack Folsom Prison (on Folsom) late night, Eros (on Market at about Church) and Blow Buddies (on Harrison at about 5th). If you DO want a bathhouse, there/s Steamworks in Berkeley and the WaterGarden in San Jose.