If you put your hand over a steaming pot of water, the steam condenses to water on your hand, so a phase change has occurred. The heat released from the condensation goes directly to your hand, which is a lot due to the latent heat of vaporization. Putting your hand in water at the same temperature won't have the same effect because the water is already condensed, so most of the energy that would normally burn you isn't there. The only energy going into your hand would be from the water cooling until thermal equilibrium.