Should I be concerned about a birthmark on my baby's skin?

No. Most birthmarks are harmless, but you should point any that you find out to your baby's doctor at the next routine check up. Birth marks, despite the name, don't always show up right at birth. Many develop in the first few months. They can be red, blue, shades of brown, black, white, or yellow/orange. There are a few which may require seeing a specialist, usually a dermatolgist.
No. Birthmarks vary widely in size, type and location--but generally birthmarks are not dangerous. The most common birthmarks in newborns are capillary hemangiomas--a small nest of small blood vessels that collect just under the skin surface. Cosmetically more problematic are strawberry hemangiomas since these can bulge out from the skin. Typically both types resolve of their own over time.