Different benefits at different stages
While you're in the cold water, you have extreme connection with physical reality. It doesn't matter what else is going on in your life, you're 100% there (during winter it feels a bit like you're entering cardiac arrest haha)
After the cold + sauna, immense relaxation. Like this very deep calm despite whatever external conditions. The contrast between extreme heat on the skin and this deep cold you feel internally is magic
It also seems to be great exercise. Purely anecdotal (no research), but the cold seems to burn off excess fat and a long hot sauna feels like you did cardio
I'm hooked