Someone told me once (he was a salesman, but he wasn't trying to sell me anything, lol) that saunas are useful when you're starting to get ill. He said that raising your core temperature helps kill germs, comparable to when the body gets a fever to kill critters in the bloodstream. This article on LiveStrong seems to support that, The Effects Of A Sauna Bath | LIVESTRONG.COM, FWIW.
I know Mark has a deep and abiding love of the benefits of cold showering, but I can't do it. The best I can manage is a tepid shower with a refreshing blast of cold shower just before I get out. I'll be interested in seeing what others think about this issue.