Finns like to build little huts by sides of lakes, inside which are rows of flat stones, arranged like shelves, and heated by woodfires underneath. When the stones, and hence the atmosphere inside, are hot, the Finns begin to beat themselves with branches until their skin is red and tingling; then they throw water on the stones to make steam, and finally dive headlong into the cold water of the lake outside - or in winter time they roll in snow. Or so they tell me. Anyway, these extreme changes of temperature are alleged to be very beneficial for the circulation.
The general idea, of course, is not entirely new. In the 5th century BC, the historian Herodotus told how the inhabitants of Scythia used to throw water and hempseed on to heated stones, thereby creating an agreeable intoxicating steam. Either way, since the temperature in what we now call a sauna is typically about 110 Celsius, the question arises as to why the Finns or Scythians are not stewed.
Humans, as we know, can survive only if their internal body temperature is maintained within a degree or two of 37C. But the temperature of the outer layers of skin can stray from this figure quite considerably without ill effect: the threshold for pain, and hence the possibility of harm, is around 45 or 46. Moreover, like any object of significant mass, the human body has a thermal inertia - a capacity to absorb a certain amount of heat before the "deep body" temperature begins to rise. Thus, for a limited period, temperatures above the magic 37 are tolerable.
Then there is the fact that the atmosphere inside a sauna is usually comparatively still, so that a "boundary layer" of air adheres to all the surfaces of the human body: it acts as a protective, insulating "second skin", to delay the thermal impact of the very high surrounding temperature. This protective layer can be locally destroyed by, for example, blowing on the back of the hand - an action which then allows the hot air of the sauna to come directly into contact with the skin, resulting in a burning sensation.
But the real key to survival in a sauna is the very low humidity. Exposed to extreme heat, the body starts to sweat profusely, and in a dry environment the rapid evaporation is very effective as a cooling mechanism. When water is thrown on the hot surfaces in the sauna, however, it vaporises almost instantaneously and increases the humidity significantly: perspiration quickly loses its effectiveness, and the Finns and Scythians inside feel an immediate intensification of the heat.