Oh, yes! I got to do it once. Ordinarily we just took sauna in our building with a cold shower afterwards.
Once, however, some friends invited us out to their cabin in the dead of winter. We hiked in and chopped a hole in the ice (a huge amount of work) while the wood stove warmed the sauna.
Finns seem to enjoy testing us Americans to see what kind of heat we can take. That sauna was one of the hottest I ever took. It was so hot, you didn't want to move. Any movement would stir the air and make it burn all the more. I wasn't even contemplating using the birch leaves to get the blood pumping.
Anyway, once we were properly drooping with heat, we walked out through the snow to the hole we had cut in the ice on the lake. The steam was just rolling off of us. The right way to enter the water is to just jump in, which we did.
The next 20-30 second were some of the most exhilarating in my life. It was spectacular.
I couldn't even feel the cold. My skin, on the other hand, knew what was going on and tightened up instantly. It must have had an effect on the blood vessels throughout my body, because I distinctly remember my heart beginning to race and getting a surge of adrenalin like I had never felt before. For a few short seconds, I was Superman.
Just as the cold began to register, I drew on the attendant rush of energy to leap out of the hole and wall marched back to the sauna for a repeat performance. This time, we put a couple of sausages on the rocks while we bathed and benefitted from the wonderful smell.
A massive appetite and a little of that Finnish brown mustard (which I have never found here in the States) made that simple sausage seem like a meal fit or a king.
What a delightfully memorable day. Thank you for jogging my memory.