i'm not a doctor, but...
i think the big difference with the egg is that you're submerging it, therefore it has a chance to cool from all sides; the cooling is more complete. with your skin, however, you're just cooling the surface. it doesn't carry on heating up; it's just that the bit below the surface was never cooled down to begin with. heat radiates, so the below-surface stuff spreads back to the surface....
(tuqueboy has been in a medically -induced coma since, Fri 31 Oct 2008, 17:09, Reply)