Do you plan to invite neighbors to share your sauna, or is this just for your own use? Is it mostly intended to increase your home value, or will you take it with you if you move? Do you plan on cold-weather use?
Put some real thought into how you plan to use your sauna and what its main purpose is, because these considerations will determine your sauna's ideal size, type, add-ons and structural configurations. For instance, you can install sauna-friendly entertainment centers if you plan to play host. If you hope to take it with you to your next home, you can look into a portable model. For use in colder climates, an attached changing room and maybe even an enclosed pathway between home and sauna can be invaluable assets that dramatically increase how often your sauna gets used.
Next tip: Learn about your options in heat sources, because there are real differences between them.