When any benefits are listed in the same sentence as "detoxification" and "negative ions," it's hard to give them any credibility at all. The first two sites you link to delve into pseudoscientific explanations. Ironically, the one with "holistic" in its domain name seems to have the most reasonable answer. I'll refer to the research Brian Dunning has already done on some of the claims... The first site claims that sauna will "strengthen" your immune system, which is kind of a meaningless claim, as explained pretty well in Skeptoid #227 (refs at the end of the transcript). "Detoxification" is a common buzzword used by many alt-med practitioners, but none can define it in a verifiable way, so all it really does to do is serve to tell you when someone is feeding you a line. The excellent Skepdic entry on detoxification includes a section specifically on saunas, along with lots of links references (mostly in the form of links to Wikipedia articles, which themselves have numerous references)
Saunas are relaxing for most people (heat relaxes muscles), so that's a pretty clear benefit. Tension causes and exacerbates all sorts of problems, so it can have secondary benefits as well.
You'll sweat in a sauna, so you'll lose water weight. That's weight loss on the scale, but it's basically just dehydration. I looked around, and I can't find anything really credible that suggests you'll burn a significant number of calories by sitting in a sauna (all the claims that you can come from questionable sites like the ones you linked to, which are promotional, not research-baed). It makes sense that, just by virtue of increasing your temperature, you'll burn some more, but probably nowhere near as many as if you were physically active. The claim is commonly made, but it doesn't appear to have any significant evidence behind it.
It does look like there might be some preliminary evidence to suggest that it might help lower blood pressure for those with hypertension. It sounds like the case for that may not yet be very strong, based on the (lack of) results I got when looking for it. I had always heard when growing up that people who have any kind of heart-related problems should avoid saunas, but I can't say that I'm certain that advice was sound.
Ultimately, I think that if you're expecting a sauna to offer any benefits beyond those conferred through relaxation, you're probably grasping at straws.