Sweat Lodge Practice Leads to Deaths

This article from the AP focuses on the story of a retreat in Arizona that included two hours in a sweat lodge, after which two retreaters were found dead, with 19 others sickened.

I thought this story lacked context. What is a sweat lodge? Why might someone use one? Does it have risks? In the story, the only risk listed was that the sweat lodge was built without a building permit.

Here is a description of a sweat lodge ceremony.