If you're comfortable doing DIY construction and you're willing to put in the time and sweat you can build a sauna for the cost of materials and your time. Materials generally compose around half of the cost of a project (labor being the other half) so you can save substantially by doing it yourself.

Beyond your construction competence, it can be a pain to source all your parts/materials for a sauna. A good sauna requires specialty softwoods, appropriate heaters, specialty doors, etc. Fortunately there are multiple reputable companies who will sell you all the components you'll need in one package, you just give them measurements of your space and they will send you a kit with everything you'll need (that you can't get at your local home improvement store).

For an indoor sauna materials generally cost around $4000-$10,000

For an outdoor sauna materials generally cost around $8000-$20,000

All variable but broad rules of thumb for typical saunas.

There are lot of great resources on the web if you're interested in this route.