Sweating in a sauna causes your blood to flow to the important organs in your body, while sweating out toxins and impurities. Some toxins that should be removed through sauna sessions are heavy metals, nicotine, and certain industrial compounds (like phthalates).
As you sit in a sauna, your core temperature increases, and your body produces white blood cells to compensate the "mini fever". With regular use, your white blood cell count can increase, meaning your body can fight illnesses faster.
The heat absorbed by your body increases your blood flow and expands the blood vessels. This lowers your blood pressure and blood can circulate to your heart more effectively.
Not only does regular use of a sauna increase blood circulation, which can relieve and relax muscular pain, it has been proven effective at relieving joint and arthritic pain as well.
Use of a sauna reduces the body's level of cortisol (the primary stress hormone). Regular use can relieve anxiety problems and sleep related issues, such as insomnia, which is often triggered by elevated levels of stress hormones.
Regular use of a sauna can increase your heat tolerance threshold which can benefit your cardiovascular strength and endurance, as well as strengthening your blood vessels resistance to shear stress.
The increased heat of a sauna increases the body's circulation, which delivers more oxygen and nutrients to the muscles and cells in your body. The increased oxygen can help relieve tired and strained muscles.
Dr. Oz mentioned on the Oprah Winfrey Show that in just one sauna session you can burn 600 calories due to the increased heat inside your body. Raising internal body temperature can increase your metabolism, which can lead to weight loss, although saunas should not be used exclusively for this purpose.