If you visit Finland and are invited to a Sauna, just say yes.
- Eat something substantial. Salty.
- Drink some water.
- Wash your hair and face.
- Blow your nose.
Immediately before Sauna, it's good to jump in the shower. Heat is milder in humid conditions - so don't towel off before you go in!
- A cold beer is nice.
- Same goes for cold water.
- Don't yell.
- Talk, or don't.
I offer these tips, as I just learned a couple of things the hard way. As it turns out, stepping into a 70-degree steam room (158 degrees Fahrenheit!) will make you sweat faster than you have ever sweated before. If your hair is oily, your eyes will burn as sweat drips down your face. And if you are congested, (though you soon won't be) it is very difficult to breathe hot air.
So, I discovered two things: first, Sauna can be somewhat intense if you can't breathe and can't see well (and simply aren't used to the heat), but it's also quite relaxing and cleansing to sit, talk or meditate, and sweat from all of your pores simultaneously for however long you can stand it.
Though a hot tub might be a similar physical experience, Sauna is quite different psychologically. It feels calmer, cleaner, healthier, purer.
Final tip: Part of the tradition involves cooling off outside, then going back into the sauna, outside again, back inside, etc. (bringing your beer with you the whole time) - so if you plan for many cycles of this, you'll be fine.
Also, on an unrelated but also cultural note, I agree with Lee that Mämmi is delicious.