They're good for deep circulation, especially infrared saunas. In the cold seasons the pores don't open as much and the body circulation gets a little stagnant. Saunas help with that.
If you go back and forth between the sauna and the cold dunk, it builds your resistance to cold as well.
Dry saunas are better for deep cleansing the pores. Steam rooms are better for getting the respiratory system circulating as you inhale the steam.