The type of heater you use is critical to the design of your sauna. Saunas can be broken down into two main types; convection, which includes electric, gas and wood fired heaters, and radiation, which includes Far Infrared (FIR) heaters. Steam rooms work differently again, relying on humidity rather than very high heat. Each technology offers a different experience.
The traditional steam and stone sauna most people have grown up with is the convection type, and if you've ever been to a gym you've probably experienced how a steam room feels. Radiation heaters are a relatively new method of heating a sauna - they can be a great option for smaller homes or apartments, as they requires less insulation.
Wood fired saunas work in a similar fashion to electric and gas heaters, and can give a charming, rustic feel.
Gas heaters are cheaper to operate and result in less CO2 emissions. They also require gas piping.
Electric sauna heaters cost more to run and create more CO2 emissions, but are easy to install.
Far Infrared (FIR) saunas are relatively new - they don't use steam, and instead rely on infra red radiation.
Where a sauna heats the room, steam generators are used in steam rooms to raise the humidity.