You can see examples of this if you happen to drip some water on a hot stove or any very hot surface. The water will very easily glide around on top of a newly formed layer of air underneath it -- like air hockey pucks on an air hockey table.
Note that when someone walks through burning coal, typically this is also done very quickly to prevent a great deal of exposure to possible harm. By walking quickly, thinking positively, and letting the water cushion you from immediate danger over a short distance, such a task is possible.
You may have also heard of physics teachers demonstrating how this principle works by sticking their hand first in a bucket of water and then quickly in a bucket of boiling molten lead. In the lead, their hand is protected briefly by a layer of gas from the evaporated water (the water vapor).
I'm fairly sure that there is a name for this particular layer of gas, but I'm afraid the name is beyond me at the moment.
In other words, water vapor has a low heat capacity and poor thermal conduction. Very often, the coals or wood embers that are used in fire walking also have a low heat capacity. Sweat produced on the bottom of people's feet also helps form a protective water vapor. All of this together makes it possible, if moving quickly enough, to walk across hot coals without getting burned.
WARNING: Do not attempt to perform any of the actions described above. You can seriously injure yourself.
Answered by: Ted Pavlic, Electrical Engineering Undergrad Student, Ohio St.
'The strength and weakness of physicists is that we believe in what we can measure. And if we can't measure it, then we say it probably doesn't exist. And that closes us off to an enormous amount of phenomena that we may not be able to measure because they only happened once. For example, the Big Bang. ... That's one reason why they scoffed at higher dimensions for so many years. Now we realize that there's no alternative... '