All bridge rectifiers will run warm to very hot, depending on how much DC wattage it's delivering. In some instances, the heat dissipated will actually melt the solder connection and/or burn the glass epoxy PC board at the connections.
That said, the large filter caps frequently play a role in overheating the bridge. If the capacitor develops a "bulge" at the top of the part, it's failing and should be replaced. Almost all hot-running components will eventually fail, since it's time vs. temperature that de-rates them.
It's sometimes desirable to install a larger bridge (i.e. 35 amp vs 25 amp) which will be more robust, but will still dissipate the same amount of heat, and pretty much run equally as hot. It's important, however, to have a sufficient amount of thermal compound between the heat sink and the component. In time, the original compound dries up, causing air gaps and reducing the thermal connection between the heat sink and the bridge heat source. This would cause the bridge to run excessively hot, and self destruct.
As a normal maintenance routine, you should remove the heat sink hardware, clean both surfaces, and re-apply Dow Corning 340 heatsink compound (or equivalent). This would apply not only to bridge rectifiers, but all transistors or regulators that have heatsinks installed.