Why is one able to walk on red-hot coals without getting one's feet burned?

Before the person walks through burning coal, the person will make sure their feet are very wet. When they start walking on the coal, the moisture will evaporate and form a protective gas layer underneath the person's feet.

You can see examples of this if you happen to drip some water on a hot stove or any hot surface. The water will easily glide around on top of a newly formed layer of air underneath it, like air hockey pucks on an air hockey table.