A modern Finnish sauna. A sauna ( /ˈsɔːnə/ or /ˈsaʊnə/) is a small room or house designed as a place to experience dry or wet heat sessions, or an establishment with one or more of these and auxiliary facilities. A sauna session can be a social affair in which the participants disrobe and sit or recline in temperatures typically between 70 °C (158 °F) and 100 °C (212 °F). This induces relaxation and promotes sweating.
First of all, it has to be Finnish sauna! All the others are imitations. It has to be heated by wood, not electric or other. If you have not ever been in one, come to Finland and you are about to get a fantastic experience.