I bought a new android phone and within minutes of using it, I've noticed the battery's warm. It's not hot. Even when I'm not using it, it's warm. I've never owned a smartphone so I don't know what's normal or not.
If it is just the battery, it gets warm when it is not charging. You are in trouble. Should not use it.
However, I think you mean the device itself. Then, it would mean that you have application running in the background and keep using data service. The 3G modem and wifi module get warm pretty fast when being used.