It can mean any of several things, and it all depends upon the context. "Coming---In---Hot" can refer to coming in at a speed to fast for safety reasons". It can refer to a land vehicle or a plane or even a boat. It can refer to coming "in" with a full load of weaponry, which creates an explosion hazard. But for most practical purposes, it can be understood to mean a high velocity approach.

The expression "coming in hot" can mean a variety of things, but I think in this context it means something similar to somebody who is "hot-headed", "steaming", "fuming" or whose "blood is boiling". These are all expressions which indicate anger. The expression can also refer to armed weaponry ("The soldiers are coming in hot and ready to fire") or, like Bruce said, can refer to a vehicle entering an area in dangerous speeds. This is in reference to the heat of the engine. Hope this helps :)

I guess the speaker means 'angry' by the word 'hot', although I rarely hear this expression.

I believe it is or was originally military terminology, used for aircraft. "Coming in hot" meant approaching, ready to fire, weapons armed, safeties off, bombs ready to drop. "Coming in cold" meant with the weapon safeties on.