Other points aside, I would start by stating that a fluid with low specific heat, as you speculated, is not necessarily a good choice; I suspect that would usually be bad indeed, though it depends on more factors.
How a heat engine works, in a single work cycle, can be roughly modelled by adiabatic expansion. I copied over the image:
The working fluid, typically gas, does (positive) work by moving bottom-right, increasing $V$ and decreasing $p$, also $T$. For a simple and rough estimate, let's assume the fluid is ideal gas; it usually is not very far from that in typical civilian engines. Then the isotherms have the form $$p \propto TV^{-1}$$ and the adiabatic curve $$p \propto V^{-\gamma}$$ where $\gamma = \frac{C_P}{C_V}$.
With these in mind, let's start interpreting this graph; first note the fact that
- the process starts at a point where $T$ is the maximum as heated by external heat source;
- the process stops at a point where $p$ is too low to keep a reasonable output force/torque/whatever.
Then let's think about its "slope": is it better to be steep, or flat?
I would say the flatter the better.
Being "steep" means it undergoes a greater change in $p$ and, somehow less (compared to a flatter one) of that in $V$; think about it. At the very best we can have $p$ stop at 1atm, so for a good output from a steep curve, we would need to start at a $p$ much higher than 1atm. That means we would need to design our engine so that many parts need to sustain a lot of pressure; we may need a super beefy pressure chamber for heating the working fluid. We would also need heavy moving parts so as to sustain, in case of failure e.g. the output shaft is stuck stationary, possibly the full pressure as it comes out of heating chamber. Such added weight would very likely contribute to the total efficiency negatively, as well as making the machine harder to build, and more dangerous.
So, assume you agree to that, we should prefer a flat curve, so that the pressure does not change dramatically, but doing the work gradually over a greater expansion. Observing that, in most cases, the isotherm curve shall decend (how could it be hotter after doing work?), meaning $\gamma > 1$, the best we can hope for is a $\gamma$ that is close to 1. That is achieved with a high specific heat.
And when it comes to high specific heat, water is probably the best choice that is cheap and safe. I do admit that the great amount of energy involved in phase trasition is usually lost, but you can recycle some of them, e.g. we can heat cold water with the exhaust vapour.
Best Answer
I think it boils down (sorry) to the density and this notion of "equal amounts".
Water is dense, and a stream of boiling water is going to do a lot of damage to your skin simply because there's so many more molecules hitting you per second than a vapor ordinarily would, as vapor is not very dense.
Now if you're talking about steam in equal amounts (meaning the same mass per second hitting you), then that's probably going to be worse than the water. This is because to get steam on you at that rate would require very high pressure steam, and would strike me a something that could literally burn the flesh from you, if not rip it from you.
Both of these, lest there be children reading, are things that should not be tried at home (or anywhere else). :-)