Metabolic Weight Loss

Reports say although weight may drop by as much as four pounds during a long session, you are primarily losing fluids and not burning fat. This weight will return as soon as you drink fluids. However, to produce one gram of sweat requires 0.568Kcal. Thus, reports state a conditioned person can easily lose 500 grams of sweat i a sauna, consuming nearly 300Kcal (equivalent to a 2-3 mile run). While the weight of the water will be regained easily by drinking, the calories will not.
(Source: http://altmed.creighton.edu/sauna/)

Stress Reduction

A quiet time in a sauna reading and/or listening to one’s favorite music is very relaxing since the air temperature stays at the 110F to 120F range.

Safety

Infrared heat, which is the warmth from the sun, will not cause tanning or promote skin cancer (tanning is caused by ultraviolet (UV) light, not infrared light). Infrared heat is so safe that it is used to warm pre-mature babies. It is very effective, perhaps the best way, to deliver heat therapy. Infrared heat provides more efficient heat transfer and deeper tissue and joint penetration than by using hot air, steam, or hot water. More comfort; no hot air, hot water or steam to sear you skin or make breathing difficult or uncomfortable. Air in the infrared sauna is heated to 110-120F, not the 150-180F in a traditional hot air sauna.