This link seems fairly unbiased between the two, as it sells both types (infrared and traditional).
Infrared Sauna Vs. Finnish Saunas - Sauna Image.com
Basically infrared uses less energy, may penetrate the body more deeply for a more thorough detox (more toxins come out in the sweat), and the air is cooler.
Also, the infrared version that I built is much more portable, as it's essentially three heat lamps on a shelf that I can plug in anywhere and take into a small enclosed space.