In early pregnancy I stayed away, just for the overheating thing, but after that... a nice warm bath was great for my back! Just not too hot or it can lower your blood pressure,make you feel horrible, and make getting out of the bath a bit dangerous (I had a hot bath, and almost feinted getting out at about 20-something weeks).
I agree with Leasha, particularly with the getting out of the bath. Gotta watch this if you shave you legs in the shower too