The Wood Burning sauna is considered the traditional model. It is fired by a special wood stove which heats a pile of rocks and often has a water tank for bathing. Ideally the location is away from the main house, by a stream, lake or pond and in a rural or semi-rural location. I do not build wood burning saunas in or attached to a main house or close to other structures.
Prices vary depending on location, site accessibility, foundation requirements and detailing like stone work, but generally start at around $16,000 for an 8×12 foot building.