I introduced the sauna experience in my article about Sauna Utoquai (see the Sauna Utoquai article). Here is some more philosophy mixed with facts: apparently, sauna strengthens the immune system. According to one theory, it is the high temperature in the cabin which simulates fever in the body thus killing harmful germs. According to another theory (mine), it is the thin layer of subcutaneous fat (nothing to do with getting fat) that develops after a few months of regular visits: it acts as a heat shield for the body. If you ask me: it is the euphoric kick (lots of endorphins) after coming out of the cold lake.
So if you are visiting Zurich or live here and became curious, go to Sauna Enge: housed at a public baths wooden platform sitting ON the lake, it offers a great view of Zürisee and the Glarner Alps. There are three cabins one of which (the best one) is reserved for women Tuesday to Saturday. The whole establishment is reserved for women on Mondays.
There is a lot of space for sunbathing and, should it get cold, you can cover up with blankets and/or move inside behind the glass door and still gaze at the lake and the snowy mountain peaks.
A two-hour stay is recommended but nobody checks. Go early on a sunny day, have breakfast (basic snacks are available) and leave after dark so as to experience all luminosity phases of the lake. A book belongs to the must-have accessories.