WordNet (r) 3.0 (2006):

sauna
    n 1: a Finnish steam bath; steam is produced by pouring water
         over heated rocks [syn: sauna, sweat room]

Moby Thesaurus II by Grady Ward, 1.0:

42 Moby Thesaurus words for "sauna":
   Finnish bath, Japanese bath, Russian bath, Swedish bath,
   Turkish bath, bagnio, balneae, balneum, bath, bathe, bathhouse,
   bathroom, baths, caldarium, cold shower, douche, hip bath, hummum,
   lavatory, mikvah, needle bath, plunge bath, public baths,
   rest room, sauna bath, shower, shower bath, sitz bath, spa, sponge,
   sponge bath, steam room, sudarium, sudatorium, sweat bath,
   sweat room, tepidarium, thermae, tub, washroom, watering place,
   whirlpool bath