They are supposed to get the toxins out of your skin by making you sweat; personally I find it hard to breathe in a steam room but my skin does feel better when I come out, than it does from a sauna.
I find it harder to sit in a sauna than a steam room. When I used to use a steam room regularly at the gym my skin was great. Face was clear and the barnacles you get on the backs of your arms and bum disappeared as well. Have to make do with a loofah now!