When I was training with the Royal Marines in 1961 we had to have a lecture from the Padre, all he told us was that if your getting ready to go out for the night have a long soak in a hot bath, this will kill off all your sperm so you won't get any girl pregnant !
it can dry out your skin, so use oils or moisturising bath foam.
it can make you dehydrated, so drink
it can give you a headache - so perhaps a cold flannel on the forhead
and it can make you feel light headed, and your heart thud a bit when you get out, so hold onto something in case you do pass out.
but i quick lie down will make the dizzy feeling pass.
if you are generally fit and well this happening shouldn't be a big problem
other than that i can't see any other real problems - unless you are having it ridiculously hot and actually scalding your skin.
if you have any illnesses perhaps ask your doc, i think diabetes may be one that could be a problem
this can happen to people with bad circulation and various illnesses can affect pain receptors so they cannot tell if they are getting burnt.
tip-a few minutes before you're about to get out, whack a bit of cold in to freshen your skin up a bit, the hot will open up your pores and the cold will help to clean them without it being too hot and burning. It's also stop it from when you get out from a hot bath, when you rub your legs down, it kinda peels them doesn't it, the cold stops that from happening
Just don't empty the bath out before you put it in, bit of a shock!