I didn’t realise that there were any until I listened to Dr Rhonda Patrick on the Joe Rogan podcast talking about ‘heat shock proteins’ and cytokines etc.
Here’s nice infographic on the subject
Source – http://uk-saunas.co.uk
And here’s a study that suggests using a sauna, has similar benefits to a bout of exercise – http://www.natajournals.org/doi/abs/10.4085/1062-6050-47.2.184
“Conclusions: We found that whole-body heat stress triggers some of the physiologic responses observed with exercise.”