I'll take a sauna over a hot tub every time. There's something about that sauna heat that just hits the bones better in a cold winter. But outside of winter, not so much. I've thought about building one from time to time but it's never risen to the right priority.
I do recall having "too much sauna" once. I was in Russia as a student and they had a sauna where we were living. I tried to deal with the level of heat the Russians wanted and simply couldn't. I don't recall what the temperature got to (somewhere around 140F maybe), but I didn't last long, and it was way hotter than any sauna I'd had before or since in the U.S. And jumping into the cold swimming pool, as was recommended by our hosts, just didn't grab me. Oh yeah, it was summer, too. I think our Russian hosts stayed in it for like a 1/2 hour. I was out after 10 minutes. I thought they were going to die - they came out smiling and jumped in the pool.
But in the middle of winter, I always want to find one. Only way I can ever get feeling "warm enough" in a way that lasts.
Eville Rich