The best to have is the carbon filter type, not a ceramic heater. Most bag type have carbon filters on the walls, but I have seen some with ceramic heaters placed inside of them, I would avoid this type.
I would also recommend an added bonus to your sauna...buy a $60 ozone generator and cut a small hole into your sauna bag and attach the gassing ozone tube into the hole and then you have oxygen flowing into your pores for your body to drink up!!!