"Finnish Sauna" is often used as a label for a particular type of Sauna at a good bath house. Hot, dry heat (and very hot at that -- often in excess of 100F), often with a roaring fire in the center. You'll also have other types of saunas (steam saunas, infared saunas, etc.), some of which are also associated with a country (Russian Sauna, Turkish Sauna, etc.). And if you pick the right country, the sauna will both be co ed, and naked. (Remember those shirts from the 90s?)
I recommend Spa Zuiver in Amsterdam. Everyone will be naked, you can go into naked jacuzzis together, and it's a wonderfully relaxing experience.
Of course, before you book your ticket with thoughts of a hedon's paradise, you should know a few things.
1. The sauna is not a pick up place. The chances of meeting a hot woman there and turning it into something are quite small.
2. For every hot woman who you will be happy to see naked, there will be four old women or men
3. Staring is not something to be done. However, if you happen to be sitting in a place where you see everything, and someone comes in, well that's OK.
4. You will be naked too. And your beauty will be judging you as well.
5. There will be a bar. And food service. While you can't drink in the pools, where else can you drink around a bunch of naked people?
But, if you'd never been, I'd highly recommend it. A day at the sauna makes you feel incredible. Really. And muscle soreness will just disappear. It's quite amazing (try a sauna after your work outs sometime)