One of those scientific "magic tricks" that never fails to amaze. Yes, it is based on Leidenfrost effect and some demonstrators even go so far as dipping a wet finger into Liquid Nitrogen.



and this was demonstrated really well by the mythbusters too, when they dipped hot iron into water, and human fingers into molten lead.



As quoted from Wikipedia:

" The Leidenfrost effect is a phenomenon in which a liquid, in near contact with a mass significantly hotter than the liquid's boiling point, produces an insulating vapor layer which keeps that liquid from boiling rapidly...

... The effect can be seen as drops of water are sprinkled onto a pan at various times as it heats up. Initially, as the temperature of the pan is below 100 °C (212 °F), the water just flattens out and slowly evaporates. As the temperature of the pan goes above 100 °C (212 °F), the water drops hiss when touching the pan and evaporate quickly. Later, as the temperature exceeds the Leidenfrost point, the Leidenfrost effect comes into play. On contact with the pan, the water droplets bunch up into small balls of water and skitter around, lasting much longer than when the temperature of the pan was lower. This effect works until a much higher temperature causes any further drops of water to evaporate too quickly to cause this effect.

This is because at temperatures above the Leidenfrost point, the bottom part of the water droplet vaporizes immediately on contact with the hot plate. The resulting gas suspends the rest of the water droplet just above it, preventing any further direct contact between the liquid water and the hot plate. As steam has much poorer thermal conductivity, further heat transfer between the pan and the droplet is slowed down dramatically. This also results in the drop being able to skid around the pan on the layer of gas just under it...