Some use sauna for aromatherapy and some just like to add some scents there. Just out of curiosity, I have spent a lot of time to test different scents.
Incense
I generally like burning incense and I brought a few of those to the sauna. It turned out that the scent is too weak so this was a nice experience but nothing to write home about.
Beer
This is the Batman of all sauna scents. It creates a nice fresh bread aroma. Just a few things to keep in mind. Firstly, never pour beer directly on the stove as it will likely burn on the stones and it will leave a bad burning smell for long time. Instead, pour a little bit (one oz or so) in a laddle that is almost full of water. Secondly, do not waste your fancy hipster beers on this. Many IPAs or fruity beers won’t smell good at all. Use the good old light beer. Thirdly, do not assume that pouring any other drink would make sense. Only water or water with just a little bit beer and nothing else.
Commercial sauna scents
Many commercial sauna scents are eucalyptus oil based and sometimes flavored with another scent like smoke, tar, birch, bacon, you name it.
It is okay to like eucalyptus smell. It is just so non-Finnish thing and literally from the opposite side of the planet. But Australians are fine people.
There are a few interesting alternatives too. I ran into a glögi/glögg scent from Emendo. Their English page translates this to mulled wine but glögi can also be made of berry juice and this one smells more like it. Anyways, nice Christmassy scent with cinnamon. Other companies like Rento also make scents of Arctic berries, if you want to try something different.

Tar
Tar is a natural and a manly product. It leaves a really nice scent but it is easy to create mess with tar too. I spent some time to find the ideal product from different sauna-related sites and stores. The issue was that many products were just eucalyptus oil with a bit of tar. I finally ended up ordering just natural pine tar that apparently is also used as an insect repellent to cover wounds on sheep. Anyway, this product at premier1supplies.com turned out to be perfect for my needs.
I just drop one small drop on a laddle. It is likely that the tar will leave marks on your sauna bucket and walls so rubbing a few drops on a stove is a better way. It should go without saying but add those tar drops before you start heating up the sauna.
Birch
Birch is very natural scent and brings back memories from childhood when the bright summer nights seemed to last forever. Yea, we were bored sometimes. The easiest way to add birch scent is to use the water where your prepare your sauna whisk. Just be careful to not throw leafs from that water on the stove. The wet leafs will eventually dry and then burn on the stove, trust me. That’s not the most dangerous thing in the world. It is even less dangerous than using a nail gun after 10 beers. Burnt leafs just won’t smell good.