Avantouinti
Avantouinti, literally "ice hole swimming", means swimming in a frozen lake or sea. Swimmers cut a large opening through the ice and either take a quick plunge or swim for a few minutes at a time. Avanto swimmers say it makes them feel fresh throughout the day, some even claim it helps build resistance to the common flu.
Avantouinti has recently seen a renewed interest, and it would seem that it is regaining a foothold in the Finnish traditions. The die-hard fans do not necessarily associate avantouinti with the sauna, although most appreciate a hot sauna after the relatively cool swim.
It is actually safer to go swimming not from the sauna heat but from the relative coolness of the changing room. The difference between the sauna and the water can be 80-100 degrees Celsius, while from the changing room it is only some 20 degrees.
The Avantouinti Society, Suomen Latu (skiing association) and various smaller societies maintain swimming places throughout the winter, so you can take a dip whenever you feel like it. (More in Finnish)

How to try it out?
If you have not tried it before, find a few friends willing to help, so that someone is able to you help if anything happens. Some precaution should probably be taken to avoid the "swimmer" to get lost under the ice edge. Slipping under the ice edge could cause real trouble. If you do not have a sturdy wooden ladder going down the hole in the ice, at least have a rope with knots attached to something, so the swimmers can use it to get out of the water. People with cardiac trouble may want to consult their doctors (although I can already guess the answers they will get...)
Do not go into the water directly from the sauna heat. Let your body get accustomed to the cold air outside before taking a plunge. And one practical advice from J. Hopeavuori: wear something on your feet when walking to the water. Rubber slippers or wool socks are handy and you can swim with them on.
How to get a hole in 50 cm of ice? You can get ice augers and saws that are usually used for ice fishing. The auger will get you started and the saw may make it easier to cut out a hole large enough to swim in.
