It's called the Leidenfrost effect.

Mythbusters did a thing on it where they dipped their hand in water and then placed it in to molten lead for a couple of seconds.

The Leidenfrost effect created a "forcefield" around the hand that stopped it from burning.

It also slows down the rate of evaporation of the water (or other liquid).

That 's the only mythbusters I've seen!

I thought liquid N2 was okay unless contained. eg Pour it over the back of your hand and it flows off without hurting you. Pour it into a cupped handand it'll do damage.