Sauna and Steamroom

I just joined a gym where I have access to a whirlpool, sauna, and steamroom. I know about whirlpools, but what are the purposes/benefits of saunas and steamrooms? In the past I have only used saunas to get dry and warm after a swim. I have not yet even entered a steamroom. Can anyone enlighten me? In addition to benefits, any disadvantages or advice to heed in using these?