When we have lasers in the near infrared spectrum, the absorption effects of color are more evident, as well as visible light, water is transparent for lasers such as Nd-YAG and it is the skin pigments, melanin and hemoglobin, which capture it, observing a rapid increase in temperature. For lasers such as carbon dioxide, water absorbs it and evaporates at sufficient powers. For mid-spectrum lasers, penetration into the skin is lower because absorption by water is already significant.
The darker and more pronounced elements that the skin contains capture the laser light better, the hairs conserve energy better because they have less water, vascular dilations are not as easy because they are surrounded by water and oxidants.