In Finnish culture nudity is not as big issue as it is in some other cultures. We're not exactly running around naked, but let's say that nudity doesn't necessarily have sexual or shameful tension. Sauna must have something to do with our mindset.
It's ok and normal to be naked in sauna, including public saunas. Naked in the company of strangers, that is. You don't need to wear towel or bathing suit in sauna. In fact, usually swimming halls recommend not to wear bathing suits in sauna, I guess because the chlorine and other additions in the swimming pool water would get vaporized, and that's toxic. And public saunas and swimming hall saunas are really for bathing, they are not sensual spas with happy ending or anything like that. In 99% of the cases swimming halls have separate saunas for men and women. But please bear in mind, that sauna and shower sections are the only areas in swimming halls where it's ok to be naked - in the pool section you are supposed to wear bathing suit. Except at Yrjönkatu swimming hall.
So sauna is one place where to be neutrally naked. Other occasions are more or less related to sauna too: it's ok to pop out from sauna to your backyard and roll in the snow naked (assuming that you don't have a shared backyard). It's ok to pop out from sauna at your mökki and jump into lake to swim naked. But in addition to sauna-related context it's difficult to think other places where it would be socially 100% ok to be naked. Making spells in mid summer night or bridal spells at bachelorette parties are probably the only additions. But spells and magic deserve a post of their own later on.