It's said that anything more than 15 minutes in a sauna is bad for you in terms of blood pressure and so on. Switching from hot to cold, rather than gradually adjusting, is definitely bad, and kills off poor fools with heart problems every year. For the rest of us, it makes the heart skip beats, do double beats, or have funny rhythms altogether. It's a neat experience, but not something I'd do regularly.
Saunas, due to the heat, will increase blood flow, promoting healing and reducing soreness. However, if you have any sort of swelling going on from an injury, saunas are no good. For the first three days of an injury that swells, heat should be avoided, as it increases swelling and slows recovery time.
Another interesting thing about saunas is that they cause your brain to change the way it behaves, specifically the brainwaves. Depending on your level of relaxation, it can put you into a meditative trance, a light trance being alpha waves and a deeper trance being theta waves. Google it; see what you get.