Be a little careful with the sauna. My brother is slightly asthmatic and has real breathing issues if he uses a sauna. I've also heard that it can be dangerous if you have any blood pressure issues or are on certain meds.
Personally, I love them. I like the way you sweat gallons. It feels good like all the bad's coming out. I wear a towel and just look at the floor. Eye contact is kind of frowned upon if the sauna is co-ed.