I actually do set my hand on fire sometimes.
It doesn't hurt if you do it properly.
Just take some lighter fluid and pour a small amount on your hand, move your hand around to coat the entire surface and then light it up. Somehow the fluid itself keeps your hand from hurting as the fire licks across your skin.
But after about 10 seconds the fluid begins to disipate, so you have to have a wet rag around to snuff the fire out.