When water goes from gas to liquid it is undergoing what is called a phase change.

Phase changes require a lot more energy than just a temperature change. The energy required for water to go from a liquid to a gas is called the heat of vaporization. When steam (water in the gas phase) hits your skin, a lot of energy will be released as it condenses into a liquid, undergoing a phase change. This energy release causes a much worse burn than if the same amount of boiling water were to hit your skin where it would decrease in temperature (to your skins temperature), but would not have to go through a phase change. The loss of energy that is released from steam hitting your skin occurs quickly and in a small localized area, therefore causing damage to your cells.