There is a potential danger to the developing fetus if your body temperature rises above 102 degrees. You can raise your body temperature to this level by getting a fever, by exercising too strenuously, working outside on hot summer days, and so on. Hot tubs and hot baths have a tendency to raise your body temperature as well.
According to the Organization of Teratology Information Services (OTIS), a body temperature of 101 degrees and above can raise concerns during pregnancy. Some studies have shown an increased risk of birth defects in babies of women who had an increased body temperature during the first trimester of pregnancy. The American College of Obstetricians and Gynecologists (ACOG) also recommends that pregnant women never let their core body temperature rise above 102.2 degrees.
A hot bath, which is not uncomfortable or scalding, is generally a safe way to relax. In a bath much of your upper body will remain out of the water, making you less likely to overheat. Additionally, the water in a bath begins to cool off, as opposed to a hot tub, further reducing any risk of overheating. So, there is nothing wrong with taking a warm/hot bath while pregnant (until your water breaks), as long as the water temperatures do not exceed 100 degrees Fahrenheit. I don't think I would suggest heating it to 105 degrees, though.