Far infrared is a form of energy that is contained within both the sun and all living creatures. Far infrared saunas work by emitting a certain bandwidth of energy that resonates with the water and organic cells of the body.  This pulsating of water molecules causes an increase in core temperature, which mobilizes the lymphatic system.

Far infrared’s benefits go far beyond heat. Heating is good for the body especially in ridding infection and the beneficial effects of saunas are well known, but by using a far infrared sauna, you also get the added benefits of 

increased energy production by cells, 

increasing collagen and elastin production by the skin, 

increased circulation, 

burn calories and fat, 

increase muscle relaxation, 

speed injury recovery, 

boost metabolism, and 

the detoxifying release of heavy metals stored in the body's fat cells. 

A pilot study of infrared sauna use in patients with rheumatoid arthritis and ankylosing spondylitis showed good tolerance, short-term improvement of pain and stiffness, and a trend towards long-term beneficial effects.  Source

The book "Detoxify or Die" by Dr. Sherry Rogers has volumes of research on this.

A book by Dr. Bill Akpinar, "No Sweat, Know Sweat" also has a chapter on far infrared mentioning exactly this.