I meet with Finns a lot, and they swear by the whole Sauna culture.
They claim it massively improves circulation (which makes sense), as the that brings the capillaries to the surface,and the plunge then moves them down into the deeper parts of the skin/organs.
They claim it helps protect against small illnesses, coughs, colds etc. (This may not be true, but as Buenchico says, Finns may be a non-random group)
And it's also a very positive, social experience. Not much to hide whan you are naked...