I recently read something about saunas being good for endurance performance:
http://peakperformance.runnersworld....nurmi_kne.html

I prefer saunas to steam, as well, though probably just because my YMCA doesn't have a steam room. I usually don't last longer than 5 minutes, though. Mostly because I've got someplace to be, than because it's too hot. It's a good opportunity to just relax, if I have the time!