David Willey, a physics instructor at the University of Pittsburgh, has written an article explaining the physics behind four dramatic presentations that he demonstrates for his physics classes: walking on a bed of broken glass, having a concrete block broken on his torso while he's sandwiched between two beds of nails, dipping his fingers in molten lead, and picking up an orange-hot piece of space shuttle tile.
From the article:
Before dipping one's fingers in molten lead, the hand is dipped in a bowl of water. Then the drops are shaken off and the hand dipped quickly in and out of the lead. I usually dip the first seven or eight centimeters of my fingers. Heat from the lead goes into evaporating the water and hence not into burning the hand, and the resulting steam layer insulates the hand.
He's also famous for his barefoot fire walking. I wish my science teachers had been so engrossed in their work.