There are several videos of the reaction, where some amount of burning thermite explodes on a contact with ice.
An "original" video: http://www.youtube.com/watch?v=IuPjlYxUWc8
A Mythbusters confirmation: http://www.youtube.com/watch?v=BnHR4cMXiyM
There are several speculative explanations of the phenomenon, summarised in the end of the latter video. And none of them sounds to me satisfactory enough.
Is there any detailed investigation and/or explanation of the effect?