Watch this video; you see that this person heated up a ball of nickel until it was red hot, and then dropped it into a mug full of water. It slowly grows dim while seemingly surrounded by a bubble, until it suddenly settles in amid a puff of steam. So what is going on here?
This is a demonstration of a phenomena known as the Leidenfrost effect.
The basic concept behind the Leidenfrost effect is that when a liquid comes in contact with something that is significantly hotter than the boiling point of the liquid, then an insulating layer of vapor will be created. Since vapor does not transfer heat as well as liquid, this layer essentially protects the object from a short amount of time.
Look at the video again: the nickel hits the bottom of the mug, and then immediately begins to vaporize the water immediately surrounding it. The resulting pocket of steam cushions the nickel, and slows the cooling process. However, around the :20 mark, the ball has cooled enough to where it cannot continue to vaporize water fast enough; the pocket of steam around the nickel begins to collapse, causing the ball to rapidly tap the bottom of the mug, until the water is finally allowed to come into direct contact with the ball. It is no longer being vaporized, but there is a final puff of steam as the ball loses the remainder of its heat.
This effect is responsible for some other common reactions, such as when pouring water onto a hot cooking surface will cause the droplets of water to jump around for a few seconds. Mythbusters even researched this phenomena; they discovered that if you heat lead to 850º (200º above its melting point) and then dip your hand in water, you can dip your hand in the lead for a very brief moment and have it come out unscathed. The water on your hand vaporizes and the pocket of steam keeps the lead away from your skin. Pretty crazy.