Small electric sauna heaters may be wall-mounted; large ones are freestanding. Be sure you select one that is sized to handle the sauna's space; these specifications are furnished with the heater.
Choose a heater that is made by a well-known manufacturer, is UL approved, and backed by a strong warranty. Look for stainless-steel elements, triple-wall construction to minimize the unit's surface temperature (for safety), and a design that puts plenty of rocks in direct contact with heating elements.
Some heaters have built-in controls, others connect to wall-mounted controls; decide which will be most convenient for you. Though controls range from simple mechanical dials to sophisticated, programmable electronic touch switches, all should have a silent 60-minute timer that shuts the heater off in case you fall asleep (which is not a safe sauna practice). It's also smart to choose a timer that allows you to preset the heater several hours before you'll need it. That way, your sauna can be waiting for you with a warm welcome when you return from a hard day.
The heart of a sauna is its heater. Woodburning sauna stoves are a traditionalist's dream, providing the soft heat and crackle of a fire. But unless you live where electricity is not available, love tending a fire, and don't mind the lack of heat control, you're probably better opting for an electric heater. Also be aware that wood stoves are not permitted by some codes and demand a larger room because of required clearances from wood walls.