This depends on whether you intend to cover the windows with curtains or shades. Just like with any other window, if there is too much heat inside the room, the window will fog up. Also, if there is light inside the room, with no shade, and dark outside, outsiders can see in but insiders cannot see out.
A window in a shower is sometimes a good idea to assist with ventilation. Although privacy is an issue that could cause problems. Another idea is to consider the mold buildup that will occur on window. These are few ideas to consider.
I have a window in my shower and hate it. The light is nice, but it accumulates mold in tough to clean areas and it creeps me out showering when it's dark outside. I'd recommend against it.