I prefer the steamroom as well, but I'll use the sauna if a steamroom isn't available. The university only has a sauna, but my 2 gyms that I workout at have a sauna and a steamroom. I use the sauna only if the steamroom isn't working. It seems that steamrooms are prone to breaking down more often than saunas. One thing I do like about one of my gyms is that in the sauna, you can pour water on the rocks to get some steam. At my other gym you cannot pour water on the rocks or the unit will stop working (there is a sign posted to this effect).
For me, I find both the sauna and steamroom incredibly relaxing, and it helps my muscles recover faster after a hard workout. I also find that using them helps me keep my skin looking clear and healthy (sweating out all of those toxins). After a hard workout, I use either a steamroom or sauna and I finish up with a cool shower. I feel amazingly calm, relaxed and refreshed after that.
Steamrooms and saunas may not be for everyone, but I look for and use gyms that have them. There are some "no-frills" type gyms popping up now that have really cheap memberships, but they do away with amenities such as lounges and protein shake bars, change rooms, showers, steamrooms and saunas. They have no appeal for me because I enjoy using those amenities after a workout. However, I know some guys that use these basic gyms and are happy with them. They just want to have a quick workout and get out ASAP. It's all about the kind of gym experience that you want to have. For me it's my little escape from the world for a couple of hours, 3 times a week. When I'm at the gym, I'm there to relax and forget about the everyday pressures of life. I don't even look at the time when I'm there. I stay and enjoy myself for as long as I want on the gym floor, in the sauna or steamroom and after in the lounge having a protein shake. From using the gym and its amenities regularly, I have dropped a lot of weight (5 pant sizes and 2 shirt sizes) and I sleep better and think clearer. My appetitie has dropped at least 50% and I'm more productive at work. On top of that my sex drive has increased and I have managed to relieve debilitating chronic pain problems I was having in the past. To each their own, but using a gym and its amenities regularly works for me and that's all that matters to me.