Of course, all that heat is not very cool.
The Gray Matter feature over at Popular Science has a brief description of the art and skill of setting stunt people on fire for movies. Not to be outdone, the author sets himself on fire. Video included.
The combustable material is a sodium polyacrylate gel, which is a novel use of this polymer that I normally think of as being used for a more wasteful purpose. Being that this trick will be tempting to plenty of people who think immolation is neat or are otherwise attracted because of pyromaniac desires, I'm not going to go further details about the polymer or where to obtain it. Just watch the video, say "Kewl" and move on.