An ideal sauna wood is the kind that will stay relatively cool to the touch and absorb steam, making the sauna experience much more comfortable. Woods that warp when in a high moisture environment, like knotty pines, are not very desirable and shouldn't be used.
Traditionally made saunas are constructed with Nordic white spruce, which retains it's natural beauty by remaining pleasingly white toned, darkening only slightly with age. Clear aspen is another good choice as well as vertically grained hemlock. Clear all-heart redwood can also be used, as it naturally resists water and warping, but it is rare and expensive, and darkens considerably over the time it is in use.
Cedar is considered the best wood to make a sauna with, retaining all of the qualities of coolness to the touch, with non-warping attributes. It will maintain its light brown or cinnamon color for the life of the sauna, it is lightweight and easy to work with, and aromatic cedar can be installed for a delightful fragrance that will surround you whenever you are inside.
If it is good enough for the actual sauna itself, cedar is also considered the finest wood to make benches out of, but there are a couple of other choices to consider. Spruce is a good choice for bench construction, and is one of the classic sauna woods feeling cool and comfortable to the touch. Another wood that has gained in popularity over the years is called abachi. Abachi wood is a tropical type from Africa, lightweight and sturdy, yet holds up well to the rigors of a high humidity atmosphere that is always present inside of a sauna.