I had already heard about it, mainly because I dream of one day visiting Finland. It's a fabulous country! Here in Brazil we also have saunas, but it is very rare; Normally there are condominiums, hotels or water parks, but not in people's homes. It makes sense because this is a super hot country. I already had the chance to go once, I really enjoyed it, I found it very relaxing.
I am guessing there isn't much call for getting even hotter in the tropics! Would be nice to have one near a cool pool though :)