Does anyone have a home sauna?

I assume anyone from the Nordic countries would... from what I understand, that's the lifestyle.

I'm in the states and have thought about building a sauna and shower outside. Can't decide what to use for heat. I love the idea of a wood fire but cheap firewood isn't easy to come by here. Natural gas would be cheaper than electric in my area and I have a feeling it would heat faster.

So what kind of sauna do you have at home? Kit, build it yourself, gas heat, wood fire? I'd even be interested in how people feel about their infrared saunas although I'm not interested in doing that.