The thing about sauna I love the most is rare moment of absolute clarity after hot/cold cycle. I rarely can think so clearly, even if it's only for ten minutes, than after putting my body to stress by sauna heat.
I had a water heater go out, and I took cold showers for a while, even after I fixed it. I felt absolutely awake after getting out of the shower. It also didn't fog the bathroom mirrors.
I stopped because one day I took a warm shower and just gave it up. Don't know if taking hot showers was a lack of discipline, or sanity returning.
Weirdly I never saw any explanation.