Because of some stupid action I got some really hot water all over my thumb while I was making a cup of tea. Naturally I knew what to do, rinse the painful area abundantly with cold water. Still the burned area remained irritated and painful. Then I got a Spanish suggestion: Toothpaste!
By covering the burned skin by a thin layer of toothpaste the area directly starts to cool down and as long as the toothpaste is there it stops feeling painful. A very good suggestion that works well. First rinse abundantly with cold water and then a layer of toothpaste.
The reason I think it works is because normally a lot of moisture is lost from the burned skin and this causes irritation and a painful feeling. The toothpaste covering the burned area stops any moisture from escaping and at the same time has a cooling effect.
Update: Although toothpaste will have a cooling effect it only works with very small burns. For each burn you need to first apply 15 minutes of cool running water to the burned area.