My parents built a house when I was in high school and had a sauna installed (in the basement). My brother loved it and used it almost every day in the winter. I think my father used it some. I never used it. I rarely go into the saunas when available (on a cruise, at a spa, at the gym).
Pros? For those who like them, it is certainly more convenient to have one at home. Cons? Your electric bill will be much higher.