Quote Originally Posted by tinchote
As far as I know, the key is the extremely low humidity (around 5%?).
A finnish sauna is pretty humid, as water is thrown on the heated stones
Apparently a bigger issue why it's "comfortable" is a small micro climate very near the skin, which is cooled by body heat opposed to being heated by hot air.
You can test this by blowing on your skin in a sauna , it feels damned hot.

(Don't blow on your fellow saunagoers skin, it's concidered rude. Hitting the other guys sholder is concidered a suitable punishment. )