Having a sauna is a Finnish national pastime, because "nothing beats the freshest feeling in the world," says Maia Söderlund, of Helsinki's Allas Sea Pool. Set on the waterfront in the centre of the Finnish capital, Allas has three saunas, a pool heated to 27 degrees and the sea pool, which follows the temperature of the Baltic Sea. See allasseapool.fi
The sauna is a communal place for Finns; a place to spend a tranquil moment with family and friends without any disturbances like phones or other electronic devices. In the sauna, you sweat away your stress and engage in interesting conversations: it is one of the few places where timid Finns might engage in conversations with strangers. Traditionally, saunas were places where Finns cleaned themselves and even gave birth, and many people sauna weekly.
Finns do not dress in the sauna. You are naked and sit on a small, personal towel. Disposable ones are provided in public saunas. Nothing else is needed. Wearing swimwear picks you out as the tourist in the sauna, however, in communal or mixed-gender saunas, swimwear or a towel wrapped around you is ok. Shower before you enter, and leave your thongs at the door.
A traditional Finnish sauna is woodburning, but if you can't bathe in a woodburning sauna you have to settle for the next best thing: an electrical sauna. Many of Finland's public saunas are electric, but there are exceptions, such as Kaurilan and Löyly saunas in Helsinki. But as a rule, all saunas in Finland are good (Finns tend to always complain about how bad saunas are abroad), so it doesn't really matter which one you choose. See kaurilansauna.fi and loylyhelsinki.fi
Finnish saunas are heated to 70-90°C, and the higher the seat in the sauna, the more intense the heat - drinking plenty of water is essential, as you sweat a lot while in the sauna. The air should be moist from throwing water on the hot stones on top of the stove, which is called 'löyly'. It is polite to ask others before throwing löyly. There is always the old lady in the public sauna who will "toast" everyone: one by one, people leave and she will continue her löyly throwing until she's the last one standing…
To take the sauna to the next level, you can jump in the sea. If the sea is frozen, you'd make a hole in the ice and have a dip. If there's no water, you can just go outside and roll around in the snow. Finish with a cold beer and maybe a sausage, grilled on the embers, afterwards. Nothing beats saunanjälkeinen: the feeling you get after a great sauna.