This is something I discovered much to my discomfort in the hospital after receiving an epidural. It really irritated my skin and I hadn't bought any emollient cream with me as I didn't know that a) I would opt for an epidural and b) it causes itchiness. I requested some cream for the itchiness, but the hospital would not give me any as it hadn't been perscribed by my doctor.
I suggest if you do plan for an epidural arrange to have a perscription of emollient cream with your doctor and take it in with you.
Also epidurals can cause severe shaking and possible panic attacks (if you are inclined to suffer from them). Alas there is nothing you can do about these things, but it is worth knowing in advance.