This article is from the Nordic countries FAQ, by Antti Lahelma and Johan Olofsson, with numerous contributions by others.
Some do, most don't. This is a habit that requires a
healthy heart and a bit of courage, but it is practised, and
there are some enthusiasts who think sauna in the winter is
nothing without a quick swim in the snow or freezing water. Of
course, others think this is sheer madness.
 
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