Saunas can be used to:

• improve athletic endurance
  ● prevent muscle atrophy
  ● improve insulin sensitivity
  ● increase neurogenesis (the growth of new brain cells)
  ● improve learning/memory
  ● possible increase longevity

Study – http://archinte.jamanetwork.com/article.aspx?articleid=2130724

Conclusions and Relevance Increased frequency of sauna bathing is associated with a reduced risk of SCD, CHD, CVD, and all-cause mortality. Further studies are warranted to establish the potential mechanism that links sauna bathing and cardiovascular health.

Abbreviations from the quote above:
sudden cardiac death (SCD),
fatal coronary heart disease (CHD),
fatal cardiovascular disease (CVD),
and all-cause mortality.

Heat Shock Proteins are generated with sauna use
“Increased expression of heat shock proteins has been shown to prevent protein aggregation because HSPs help repair proteins that have been damaged”
Heat shock proteins can actual repair the structures of other proteins in the body.

A gene called Foxo3 is also activated by heat stress
Foxo3 reduces DNA damage and is associated with increased lifespan.
Reducing DNA damage, also decreases the likelihood of cancer developing