Sauna
The most basic thing you will need to learn about if you are living in Finland or studying Finnish is sauna. Step 1. learn to say sauna, see here. It's not said the same as in English, and since Finns feel they own the word and the concept of sauna, it's good to switch to a Finnish pronunciation as soon as possible.
What can I tell you about sauna? Let's assume you know nothing. A sauna is a small room which can be heated to high temperatures. You should be naked in the sauna (I'll mention exceptions to this later, but yes NAKED in sauna is generally required). The temperature depends on the user's preference, but a Finnish person using a sauna will expect the temperature to be at least 60-70 degrees celsius (up to about 100 degrees is normal). The duration again depends on the user, but in my opinion you can happily go to sauna for 10-15 minutes and then leave, or leave for a bit to cool down and go back. If you last only 2-5 minutes, I think it's fine. Leave whenever you feel like it!
What does one do in sauna? Well, not a lot. But again assuming you know nothing. You bring a small towel to sit on, you bring a bucket of water and a ladle. Then once in the sauna you sit down and you scoop up some water and throw it onto the sauna stove. This will generate steam, but Finns get very excited about the amount/quality/duration/etc. of this steam. They call it löyly (again see here for the pronunciation because this isn't a word non-Finns will be able to say right away). A löyly can be good or bad or gentle or smooth ... or I don't know what else... but Finns talk about löyly a lot and it is seemingly a property of individual saunas.
Where does one go to sauna? In Finland people have saunas inside their house - so you generally go to sauna at home or at a friends home. I will just repeat this again... everyone has a sauna in Finland. If you have a house (omakotitalo, see Housing) you will almost definitely have a sauna, if you have an apartment you may have a sauna inside your apartment or if may be that there is a sauna in the basement of your apartment building and you have a time once per week reserved for you/members of your household. But yes, we all have access to a sauna... because in Finland that's (apparently) just a very basic need.
You can also go to a public sauna. This can be again with friends or whomever you like, and at a public sauna is likely for both genders and thus you will need to use swimwear (so NOT NAKED). So yes to refresh - yes definitely 100% naked when sauna-ing at home, but not for sauna with both males and females in public. But of course... at the gym when the sauna/showers are for one gender back to being 100% definitely naked.
I should add here that at home the sauna is located in the bathroom in Finland. So there will be a shower, toilet etc. in the main bathroom and then a door to the sauna. This is almost universal, so if you look for a house to rent or buy and start looking for one without a sauna, you may actually not find too many options. I know it might sound weird to go into the bathroom with a friend and then get naked and shower and sauna... but what I can say, it's cultural I guess.
So who do you go to sauna with? You can go with your boyfriend or girlfriend. You can go with your friends and family members of the same gender. The whole family can sauna together with the kids who are young (I don't what approx. age this stops). You should feel comfortable with whoever you are going with.
Can you talk in sauna? Yes, talking in sauna is fine, you can chat with your friends and it's totally normal. But don't forget in Finland silence is always okay and never really awkward, so you can also relax and not talk if you want to.
Lastly, is sauna nice? It's hard to answer the question: will I like sauna? Because it's personal thing... but (almost all) Finns really really like the sauna and it's for a reason. There is nothing awful/scary/horrible about it. If you get too hot, just leave or go and take a shower to cool down. I've had friends come from Australia and almost refuse to go to sauna - from a fear it would be too hot - and finally try it and cope completely fine and like the experience.
Summer Cottage
Summer cottage (mökki in Finnish, again see here) is another very culturally Finnish thing. People will go to the mökki for their summer holiday and there will usually be a sauna. At a mökki sauna may work a bit differently though... the sauna may be a separate wooden house (away from the main cottage) and there may not be a shower at all. This is the old-fashioned sauna style, but don't fear... this can be very nice too. What you will do in this case is heat up water next to the sauna stove and then mix this boiling water with cooler water in buckets and use this to clean yourself after sauna. It's sounds a bit primitive, but honestly... sauna by a lake in this style is extremely nice and extremely Finnish.
Other activities at the summer cottage include things like having a grill (grillata - to grill, in Finnish). I will warn you now that in Finland in the summer mosquitoes are insanely bad. The mosquitoes have a short duration of time to be alive, before winter and the number of mosquitoes at the summer cottage is honestly unbelievable. Don't leave home without the insect repellant.
Previously in Finland many people owned their own summer cottage, but now-a-days it's also common to rent a mökki for a period of time in the summer.
Winter
It's hard to write about winter, because I am by no means an expert. But again assuming you know nothing! Finland in winter is very cold. It is quite variable, but it may be 0 degrees celsius or -10 degrees celsius or -30 degrees celsius. Unfortunately you won't survive in Finland without the right kinds of clothing. Again I'm not an expert, but a minimum could be thermal socks, gloves, something for the head, thermals, one of those crazy warm coats you can only buy from Finland, and THE RIGHT KIND OF SHOES (buy them here if needed).
In winter the darkness is quite extreme. Depending where you are in Finland a few hours or daylight per day may be all you get. It sounds very extreme, but ... yes... okay you will adapt. Due to all this darkness another thing Finns will go on about a lot is reflectors (as in the things you attached to your clothes so cars can see you). A reflector in Finnish is a heijastin (hopefully this one is easier to say, see here). It's not unknown for Finns to lecture foreigners about reflectors. I went to the embassy of Finland in Canberra in Australia for my visa and already the lady was telling me about reflectors.
Finnish
The Finnish language is very difficult. Again I don't know much you know, but assuming nothing... then the reason why Finnish is so difficult is because it is not related to other European languages. It shares nothing in common with Swedish (the country to the left of Finland) or Russian (the country to the right of Finland). Finnish is distantly related to Estonian (the country underneath Finland, across the Gulf of Finland) but these two languages have been separate for at least 2000 years and Finns cannot understand people from Estonia at all. I imagine foreigners in Sweden, who speak English, will get on much better learning Swedish than foreigners trying to learn Finnish in Finland. Having said that while Finnish has a very steep initial learning curve, is quite systematic. If you crack the puzzle that is Finnish you can enjoy the benefits of a language that has (1) almost completely consistent pronunciation and (2) very consistent rules to conjugate verbs.
The biggest challenge to Finnish is probably the fact their are many dialects (murre is dialect in Finnish, see here for pronunciation). Dialect means in this case that the spoken language is different from the written language. Because it is a spoken language, you won't see it written down and it is not easy to learn. Plus as I said there are many dialects in Finland, so even if you learn the yleispuhekieli (general spoken Finnish), it may not help you get by with stronger dialects, such as in Eastern Finland or Western Finland. Apparently central Finland (such as in Jyväskylä) the spoken Finnish is however closer to the written Finnish.
Housing
Finns live in houses (omakotitalo), attached houses (rivitalo) and apartment buildings (kerrostalo). Whether or not housing is strange to you depends on your own home country, but for me it has been strange that even in smaller places there are apartment buildings (near the centre of the town) and then houses further again for the centre. It seems to me like city planning has been quite controlled in Finland, and so you see whole neighbours built at the same time (in the same style). Back home in Australia it's more like a never ending, unplanned sprawl of houses and at random some apartments.
Finnish words in this post
sauna - sauna
löyly - steam from the sauna
grillata - to grill
heijastin - a reflector
murre - dialect
yleispuhekieli - general spoken Finnish [ylies- = general, puhe = speech, kieli = language]
omakotitalo - a house [oma = own, koti = home, talo = house]
rivitalo = attached house
kerrostalo = apartment building [kerros = level/floor, talo = house]