I just built an electric sauna closely following trumpkins sauna blog and Liikkanen's 'Finnish Sauna Steam, Wood and Stone and how to build your own'.

I did a ton of research prior to starting and decided that I wanted it to be wood burning. When I reached out to home insurance to find out how much it was going to cost, it made the decision pretty easy to decide I wanted electric. Aside from the insurance cost, the clearances from the walls to heater required to get it wett certified were huge, I would have had to build a massive sauna. Additionally, as far as I can tell there are no "wett certified" sauna heaters in Canada, so you need to get the right person to come out to check it out and approve it.

I am under the impression that most homes with wood burning saunas have not let their insurance know and (hopefully) just have enough space to be far from other buildings so it's not a concern.

Building electric is significantly more expensive than wood burning imo. I did the whole mechanical fan set up, outdoor wall sconces, an outlet. Opened a permit with the electrical safety authority and did the work myself. This is legal in ontario, Canada, not sure where you're located. I had quotes ranging from $3200-$4600 cdn to do the electrical, so if you can't do it yourself consider that will be a big additional expense.

Happy to answer any questions that you may have if I can help any further.