A sweat lodge is an important aspect of many native cultures along North America, Siberia and North Europe whose religious beliefs depend on the shaman. It is a place of ritual purification and mystical insight through a vision quest, where the shaman performs prayers and songs in a sauna-like environment (the word 'sauna' is itself of Finnish origin and goes back to the shamanic heritage of Siberia). Anthropologists and psychoanalysts have observed and studied the fact that modern science-fiction very often reflects ancient epic structures (see Bibliography).
On the Island
The lodge was built by John Locke on the site of Eko's abandoned church in hopes of entering a vision quest to "speak to the Island" after he had become mute during the implosion of the Swan station. He believed he needed to find guidance for his life after mistakenly causing the implosion incident by deciding to no longer push the button, and forcing this decision over Eko's objections. Inside the lodge, Locke's attempt at a vision quest was accompanied by his use of a hallucinogenic paste. His attempt was successful, and he had a vision where Boone acted as his vision guide and told him to clean up his own mess by saving Eko's life. ("Further Instructions")
In Mike and Jans' commune
The commune run by Mike and Jan also had a sweat lodge located on the property. Locke described it to Eddie as a place for anyone to go in, light a fire, get it nice and hot, and meditate. That person would then be able to figure out what direction to take with their life. They could also learn whether they were a hunter or a farmer. ("Further Instructions")
A sweat lodge was prominently featured in Stephen King's novel IT, made by the seven main protagonists in their youth. Inside the lodge, one of the children has a vision of IT arriving on Earth.
Hoppal, Mihaly. 1985. "Shamanism. An archaic and/or recent system of beliefs", Ural-Altaische Jahrbucher 37, pp. 21-140.