Camo put it well.
Concerning the electricity vs wood heating (imho).
electricity
The electricity heated sauna is giving a nice comfort for the busy people.
Just turn the dials for the wanted heat and timer when to start actual heating.
The timer function is really nice, because you can go to the outdoor activities and when you comeback, the sauna is warm and ready. Neat.
The down side is the real good löyly (heat) is very rare in electricity heated sauna's.
Wood
The preparation and heating of the sauna can be a some sort of slowing-down ritual.
You cut the big blocks of wood down with the ax and carry them in and start the fire.
While fire is on you clean a bit places and carry-in the washing water from the lake/weld(in very basic form sauna) and fill the heating pot.
Keep up the fires, pick-up more woods and let your thoughts run out of head. No hurry. It's ready when it's ready.
Finally it's a sauna time and you can enjoy a very pleasant & smooth löyly(heat)... What a peace.
Down sides?
The heating can really take a time & work
You need to empty the heating place ashtray and get chimney checked/ cleaned time to time.
If you want to have a very best of löyly(heat), then the Smoke Sauna (
http://en.wikipedia.org/wiki/Finnish_sauna#Smoke_sauna) is the option.