Benefit

If the sauna is used reasonably, it is healthy in a multitude of ways. Reasonability is defined by the number one rule of the saun - be comfortable, always! If you are no longer comfortable, take a break or call it a day. The sauna is meant, first of all, to be enjoyed. 

The sauna is good for a number of reasons:

 - strengthens your immune system,

 - gets rid of toxins while sweating,

 - blood vessels are stimulated and the blood circulation is increased,

 - helps with sleep problems,

 - good against stress,

 - relieves your symptoms of flu and cold (make sure you only go to the sauna when you feel like it; if you feel physically weak from flu, skip the sauna). My personal feelings towards sauna during flu is that it neither helps a lot nor hurts. At best, it provides some temporary relief.

For more information, cankar.org provides a multitude of information about various specific health issues as they relate to sauna (starting from blood pressure, weight loss and alcohol all the way to fertility and pregnancy). Cyberbohemia on the other hand reports on the history of sauna related health discoveries and what really happens to the body in the sauna.