I've been to hot yoga a bunch of times because there's a studio near my house, but the heat is really too much for me. While I'm doing it, I always tell myself that I'm crazy for going through this, but then afterwards I feel amazing....for days! This is why I've done it a bunch of times and not just once
I think I just sweat more than normal people and that's what makes it tough. They tell us to bring a bath towel to place under you, so that you don't slip around on your mat in puddles of your own sweat (gross, but I feel like it's something you should know ahead of time!), but last time I was so hot that even the towel got slippery.
You also have to be careful about over-exerting yourself. There are people in my class who go there all the time and are totally ripped and look like they could be on fitness commercials, but I see some of them having to stop and do child's pose. One of my friends went to another studio where people are known to pass out from the heat. Not good - be sure to know your own body and know when to take a break!
Another thing that's maybe kind of amusing is that I've known a lot of people to sort of brush off yoga as just some stretching and breathing, but these hot yoga people do not mess around. This is a real workout. I've gone to their unheated classes too (which are about 1 out of every 20 classes they offer, lol) and I'm sore for a few days even though I weight train and am in pretty good shape. I don't know about the calorie burn, but on days that I go to power yoga instead of running, I do NOT feel like I'm getting off easy.