Traditionally, Saunas are wood paneled rooms (sometimes in cabins like the one below) with wooden benches that are heated with wood fired stoves topped with rocks. Today, many of the stoves are electric (for the heating unit). Infrared saunas exist, but the steam is part of what makes it so good.
You ladle water onto the rocks/stove to create steam. We saw shops selling fancy buckets and ladles all over Scandinavia. Since warm air rises, the higher the bench, the hotter the temperature. It gets really hot and you sweat out all sorts of toxins.
Locals claim that slapping the skin with birch branches enhances circulation. They also believe that the chlorophyll releases opens your sinuses. Being American, we didn’t beat each other with branches or didn’t go in the buff (although locals do both).
We did, however repeatedly cool off. Many take a cold shower. If there is snow, people will go roll around in it.
Our favorite way of cooling off spot was on the island of Grinda in Stockholm’s archipelago. We started by walking tentatively into the Baltic Sea and ended by taking giant leaps into it. Even though I hate Polar Bear swims, I’d jump in from the sauna every day if I could.