Since the blood tends to pool in your extremities after a vigorous workout, and steams, saunas, hot tubs and even hot showers tend to dilate your blood vessels, it is really not the best thing to do as it will be more difficult for the blood to reach the heart and brain. However, if you've done a thorough aerobic cool-down, and you wait a reasonable amount of time to return to almost normal, you might go into one of these "fun" things. But if you feel any sign of weakness or dizziness, get out immediately.
This is part of the misc.fitness.aerobics Frequently Asked Questions page (FAQ).
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