Now that I moved, I just walk outside into natures sauna called SE Florida.
Going from the thick hot humid air into cool water (like a sauna then to the pool) can rip the nasty right out of you quick. Love it.
Nothing beats a sauna and hot tub in the mountains though. Going from the sauna out into a snow storm then down into the hot tub to drink cold beers as snowflakes pelt your face and your body is constantly trying to react to the different temps...oh how I miss those day sometimes.