The reason some people advise pregnant women to avoid hot baths, and especially long hot baths, is because of concerns that these could make the baby's body temperature rise to dangerous levels. A fetus is unable to regulate its own temperature and overheating can lead to complications in some situations. For the same reason, long and vigorous pregnancy exercises that raise the maternal temperature for long periods of time is not recommended. This doesn't mean you are not able to take baths, however!
Don't have really long and hot baths that make you feel uncomfortable and red, and get out if you think the water is too warm. Turkish steam rooms and similar devices might also be something to stay away from. A normal bath is completely fine, though. The other thing you should be aware of when it comes to bathing during pregnancy is that some essential oils are not safe during pregnancy.
Information about which oils and aromas to avoid, and which are safe, varies and is sometimes contradictory. You might want to research the safety of bath products containing essential oils before you decide to use them when you are expecting a baby. You can read more about oils to avoid here Aromatherapy in pregnancy. Besides that, the only danger we can think of in relation to bathing during pregnancy is slipping on a wet bathroom floor! Sometimes, we really over think things! Enjoy your pregnancy, and your baths!