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It takes quite a lot of energy for water to change phase. Steam actually contains much more energy than does boiling water, therefore it burns far worse when it comes in contact with human skin. 

You can actually do the math to confirm this.It takes 100 cal/gm to heat water from 0 to 100 degrees C, but 539 cal/gm to change that water into steam. So ten grams of water at 0 degrees C absorbs 1000 calories to boil but nearly 6400 calories to turn completely into steam.