1) Do not try to do these classes in the midst of a really heavy triathlon training schedule. One sport, you can handle it...and work them in selectively with regards to your training days...but if your legs are enduring cycling, running and (overall body) swimming fatigue, you'll struggle in here and it is another workout added to the week. Not recommended.
2) Hydrate before class. If you drink too much in class, you'll feel sick. Trust me.
3) Don't look around. Not sure if any of ya'll have done it, but there are some rather thin and um...well,...rather too thin? people in these classes sometimes. Additionally some are human-gumbys and can do insane things with their bodies. I am as stiff as a board compared to them, but I still push myself to MY limits. Since you're all virtually naked (minimal clothing), you'll be judging yourself if you look around too much. Just look at yourself in the mirror and your posture and poses and be thankful that you can do this stuff at all. It is not easy.
4) I could go on and on but...essentially, I do think that these classes are advantageous in that they work on our flexibility (which as endurance atheltes we can all improve upon) and I firmly believe they can help with overuse injuries, as well.
So...give it a shot if you have not done it. Since most of December and January have been devoted to running for me, and the cycling and swimming are purely recovery and very easy, I have thrown in Bikram Yoga classes 2-3x/week as a good cross-training activity. I'll never be Gumby, but through the blood, sweat and tears (ok maybe it is not THAT bad....) I do know I am doing my body a huge favor.