I have actually lit my hand on fire with alcohol twice before (once accidentally, and then again on purpose, because it looked really cool), and feel that I should probably add a few comments here. The first has to do with the comment about flammable beer. As far as I know, alcohol below 100 proof (50%) will not burn. I actually heard that that was why it is called "100 proof", because when they were first figuring out everything about alcohol, they discovered that it would only burn once they had gotten it to a certain point, and thinking that to be pure, decided that it would be 100 proof. Don't quote me on that, though. It's quite possible that it has very little to do with the real story.1

Anyway, onto my story. What happened was that I had a candle and a bottle of rubbing alcohol (91%, if you're curious) nearby, completely coincidental. There was an ice storm going on, and our power was out. I needed this candle lit. There was, however, no wick protruding from the wax, and, being the impatient and impulsive fellow that I am, spied the alcohol on the counter and figured I could simply burn away a little of the wax. I poured a little in the cap, meaning to then dump that in the candle, but the liquid sloshed and poured out all over my hand, completely covering it. To this I never gave a second thought. I went over to the candle, poured the capful of alcohol in, and went and got a match. And struck it. With a hand covered in alcohol. I believe the exact thought that went through my mind as I saw my hand burst into flame was this: "OH, SHIT!" I will also say this: it is amazing how quickly a person can move when they are on fire. I waved my hand so quickly that the fire actually went out, quite a feat when you are dealing with not a tiny alcohol fire.

As I said before, the power was out, and it was quite dark, meaning that it looked really cool seeing my hand burning with that bright blue flame. If you have ever seen the movie Hellboy or one of the trailers for it, you will know what I'm talking about. It looked exactly like that.

So I promptly lit my hand on fire again. This time I did it more carefully: I stood next to the sink. And it was just as pretty the second time. I did learn something new thing this time around, though. If you light your hand on fire and then put it out really quickly, while there is still alcohol to burn, it does not hurt. If, however, you wait even one or two seconds to watch it burn before putting it out, it gets very, very, hot. On fire, in fact. So a word to the wise: if you're planning on doing this, light your hand on fire and then put it out IMMEDIATELY. Your smooth, flesh-colored skin will really appreciate it, and you can escape without harm.2

I was not actually hurt. I did manage to put it out the second time quickly enough to escape with no burns, but only by virtue of the sink that I had strategically positioned next to me. It did hurt like a monkey for a few minutes, though. The one lasting effect of these little adventures was that all the hair on my hand was burned off, and my hands looked very strange sitting next to each other for about two or three months after that.

Oh and I would not recommend this method to get the wick out. It worked, but then the next day, when I picked up the candle, the glass cup candle holder thing it was in shattered at the first touch, spraying glass shards all around my kitchen. Which is I now restrict my glass-shattering to other people's houses.

1 Zerotime informs me that he has done the same thing with Finlandia vodka, with about 34% alcohol. Maybe I got that story from a leper... (not that there's anything wrong with that)
In addition I learned from the proof node that the term does come from testing for the alcohol content, but what they actually did was mix the alcohol with gunpowder, and if it exploded, there was "proof" that it was good.

2 futilelord tells me that most rubbing alcohol you buy at a store is about 50% alcohol, and with that you can keep your hand burning for about 20 seconds without lasting damage, if you can take the pain. He also says the flames weren't that great, though, so if you're going for effect (and you probably are, if you're lighting your hand on fire), I might recommend the higher alcohol content for a shorter time.