But up until my trip to Finland earlier this year I confess I'd not been that impressed by them.
Little tongue and groove huts that make your throat dry and your lips sore. The smell of stale sweat; leisure centre warning notices. Hardly romantic.
But that's before I experienced a traditional Finnish sauna.
Heated by the smoke from a day-long fire set under a large pile of stones, the candlelit hut is almost dark as we arrive down an icy path cut in the snow.
I'm with the men of the group - it's taboo to sauna in mixed gender groups. We file into a changing room.
The Finns and the German strip. The other Englishman, myself and a journalist from Hong Kong opt for swimming shorts.
Then we enter the sauna. The smoke has been let out but its smell and soot are everywhere. We sit high in the rafters on paper towels to avoid getting covered.
It's warm, but far from overpowering. A gentle heat until water is thrown on the stones increasing the humidity and the perceived temperature. Time passes, the fat is chewed and we all get too hot.
The solution? A short walk down and icy path in bare feet out onto a frozen lake where a square of ice has been cut away and a ladder mounted.
We take turns to climb down into the black depths, shoulders under, breathing slowly.
Something brushes against my back. A rapid ascent. The fear of a monster.
Then it's back up the path dripping, freezing, to grab a beer before heading back into the cured darkness of the sauna to go round again. The whole experience is electrifying.
After rinsing off in warm water heated by the same fire used to create the sauna we're left to stumble back, drunk on endorphins, mentally alert but physically bamboozled.
It might cost the best part of 1,000 euros and only be available for groups, but it's an experience that makes the four hours in planes completely worth it.
It would make the ideal climax to team building weekend or a hen or stag do.
In many ways that's what the superb hotel we visited - Hotel Iso-Syote (hotelli-isosyote.fi) is perfect for.
In reasonably good nick, it boasts everything you could possibly need to get out and enjoy what Finland has in abundance - snow.
Whether it's downhill skiing, cross country, snow shoeing, snow mobile safaris, dog sledding or reindeer rides, all can be arranged.
Equipment and appropriate clothing are all held on site for ease of packing and a team of charmingly blunt guides is on hand to make sure each activity has a dash of fun and the inevitable warm berry juice.
Then there's always the pool and sauna to ease aching muscles and a decent restaurant and bar overlooking the piste to contend with.
How you'll feel about eating the reindeer after feeding them though is anybody's guess.
★ Riding snowmobiles is one of the activities available to guests staying at Iso-Syote.
Post safety briefing, you mount your machine in a large group. Its powerful engine throbs. You move off and immediately start to fight the handlebars as it veers alarmingly left and right.
After a while you relax and open up a little. The speed is thrilling on the flat; a strange blend of motorbike and car.
You break for coffee and cake mid-trip, cooked up in a hut over an open fire. Then you blast off again. Refreshed and full of confidence. Must be the warm berry juice.
★ On arrival at the husky farm the squawk and hoot of the tethered dogs is incessant.
It rises to breaking point as they're formed up to pull our sleds.
But once we're off, silence falls and the soft padding of paws on ice in the hush of the forest descends.
It's a sublime way to experience the Finnish countryside and, with snowmobile outriders in case of the inevitable spill, a safe albeit bumpy thrill.
Johanna and Janne are perfect hosts at Syote Wilderness Services (syotteenerapalvelut.fi). Decent sausages too.
■ Jon flew from London Heathrow to Helsinki and then on to Oulu with Finnair (finnair.com) for 419.49 euros return.
■ He stayed at Hotel Iso-Syote +358 201 476 400 or hotelli-isosyote.fi
■ For more information about the area go to syote.fi.
■ For more information about Finland go to visitfinland.com.