I can't really talk on behalf of all types of saunas, but when it comes to the traditional Finnish sauna, oh boy I can talk about it.
I've been going to one almost every day for as long as I can remember. There are numerous studies done by Finnish universities and research labs that all seem to agree that saunas are very beneficial for your physical and mental health. It's an amazing feeling to jump into a sauna at the end of a hard work day to destress with a cold one.
You should definitely read some research papers done by Finnish institutions, and go try a proper sauna where ever is the closest one to yours.
I even personally know 2 guys (not from Finland) who fell in love with saunas so much that they even invested ~20k USD to have saunas built in their backyards.
You should surely give it a go, I'm sure you won't be disappointed.