Period horror set in the Finnish outlands? Sign me up! Heck, period and horror/suspense can work wonders (Le Pacte des Loups comes to mind). Sadly, Sauna is nothing but a cold shower, a murky, moist tale that feels like a truly bad X Files episode (complete with black oil!).
Think of the Seventh Seal meets a Troma flick, all with a menacing concrete Sauna at the heart of the tale. Come to think of it, Dead Birds was another horrible, boring period flick with schlocky scares entirely derived from cheesy makeup and ear piercing, shock noises.