2000 years ago the Roman heat baths played a major role of sociability of Roman life. Romans citizens used the heat baths to relax and unwind and it was common to share the experience with friends and family. The Roman baths were dry & hot enough for a 30 minute session.
The Russian Bath which is still around today combined hot air with steam that was piped in from an external boiler. Russian baths produce high temperatures with high humidity. Your body may perspire long after a session.
Many, if not all, Native American tribes used some version of a sweat lodge. A mud hut is constructed over a pit that was dug into the Earth. The pit would be filled with hot rocks which were heated in a fire. It was common practice to sprinkle water on the rocks to get blasts of steam. This ritual was mostly done in complete darkness and was followed by a dip in a nearby river, creek or lake. Native Americans considered there heat bath essential for curing colds or easing arthritis.
The Japanese bath, dubbed the Oriental Martini, took a different twist on heat bath. They soaked in hot water daily while soaping and scrubbing. This is believed to create mental regeneration and is also a fabric of Japanese social practices.
The Traditional Finnish Sauna is probably the most prevalent today but has been around for 2000 years as well. Mostly built from wood walls and using rocks heated by wood fired or electric stoves. While the Romans were occupied by architecture Finns were sitting in crude log buildings or Earthen dugouts. In Pre-Christian Finland the sauna was a holy place and was used for everything from drying meat to birthing children.