Many cultures around the world have something similar to saunas, but the original word at least originates from the Finnish language and most Finns have an access to a sauna. Even the Parliament House has one. The finnish sauna culture is also, of course, the most familiar sauna culture to me so I will take that perspective.
Sauna is basically a structure that is heated with a special oven called "kiuas". The air temperature will be around 80 to 110 Celsius (176 to 230 Fahrenheit) and the heat can feel hotter when water is thrown from a bucket on to the stones on top of the kiuas which causes steam to rise. This is called throwing "l๖yly" which meant "spirit" or "breath". The modern word for "breath" is also synonymous to the words "spirit" and "life". People who go to sauna undress, wash themselves and then enter the room and after they are done they wash themselves again. The attendants also take showers in between to cool themself of.
Apart from towels sometimes used, people will be completely naked, even among strangers in public saunas. Wearing clothes during a sauna session is a taboo though wrapping yourself in a towel is fairly accepted, especially as a concession to foreigners who might feel insecure about nudity. This sometimes leads to a separation between genders taking turns or families taking turns. But even in mixed saunas, sexual behavior, even verbal, is a taboo. Making sexual comments can feel similar to hinting about the sexuality between siblings or making sexual puns in a church. People come there to relax and it is a holy place for many. Like typical to bathing cultures requiring full nudity, all the titles and ranks are dropped, making sauna effectively very egalitarian. Some consider swearing to be offensive, even if those same people talked like sailors any other time of the day.
Before globalization, business partners might have met in a sauna after most formal work had been taken care of. Invitation to a sauna evening was a sign of meeting going well and further cooperation could be expected. It's similar to American business partners going for a lunch.
Saunas were the first building to be built when moving to new location in ancient Finland even the Finnish companies on UN Peace Missions first build a sauna, even if they are in Africa. Sauna allowed people to have a building that they can heat, dry clothes, prepare food in and is a fairly sanitized place for giving birth. I still know some people who have been born in a sauna. Sauna has been also used for healing. Massages, chiropractice and preventing as well as treating cold have been practiced and are still practiced. There's a proverb that goes: "If sauna, booze or tar won't help, the affliction will kill you".
Many Finnish saunas are nearby a lake so that people could cool themself of in a lake. Finland has a lot of lakes, too. This can be also done in the winter by making a hole in the ice. It's not really dangerous because you just came from a warm place that stored your body full of heat and you can just go back there. Going to sauna in itself doesn't have significant health effects (good or bad), but in combination with winter swimming it does. It relieves pain from the back, shoulders and neck, enhances the bloodflow, might decrease depression, alleviates arthritis and fibromyalgia. The hobbyists report lowered stress and refreshening of body and mind as well as an increased cold resistance.
Sometimes a treated birch branch is used to gently repetitively tap (spank just sounds aggressive and sexual) oneself or a fellow attendant. Also drining beer is often associated and sausages can be grilled on top of the kiuas.