This little Metacafe video shows how to make a "Magic Fireball" — a lighter-fluid-soaked rag-ball that's bound tight with thread — that you can roll around in your hand without getting burned (because the hot part of the flame is on top and you hold it by the bottom). Unless, of course, you screw up and burn yourself horribly.
Update: Speaking of burning yourself horribly: the commenters in the Metacafe thread (and here) say it's a composited hoax and report burning themselves. Astonishingly, rolling a burning oily rag around in your hand isn't a good idea.
Update 2: Well, maybe it's not a hoax. Other commenters make a good case for the video being real. Mind, you're still rolling a flaming, oily rag around in your bare hand, but at least you know that someone, somewhere did this without being horribly burned.