From $1000 to $5000 depending on size, luxury, and how much you do yourself vs hire out. There are a few things you want to be knowledgeable about if you do it

From $1000 to $5000 depending on size, luxury, and how much you do yourself vs hire out. There are a few things you want to be knowledgeable about if you do it yourself: moisture barriers and management, what kinds of woods to choose and what not to choose both for durability and comfort, and some understanding of stoves & rocks especially if you're picking your own rocks -- some types of rocks are prone to exploding and that's unpleasant. You can buy prefab kits (so the moisture barrier is built in and the benches are pre-assembled) from companies like Finnleo, or you can buy a stove alone from tons of places. Just make sure you're buying a stove that is truly meant for a sauna (throwing water/making steam) instead of a heater for an infrared room (different!).