When a substance converts from a liquid to a gas, it needs to absorb energy. This is called heat the heat of vaporization and for water it is 2.27 MJ/kg. This is a very amount of heat for any substance that is normally found as liquid on Earth. Every kilogram of steam has 2.27 MJ more heat than a kilogram of water.
Burns are caused due to the transfer of heat from other objects to our body. Steam, even if it is at the same temperature as hot water contains a lot more heat. And usually steam is found at temperatures above 100 degree Celsius which is the temperature at which it condenses to water. The two main reasons why burns due to exposure to steam are much worse than those due to exposure to hot water are that the temperature of steam is usually more than that of water and steam acquires extra energy during the conversion from water.