lit candle (or lighter), water, 2 balloons
1. Blow up one balloon and tie it. "Hold the balloon a foot or two over the top of the flame and slowly move the balloon closer and closer to the flame until it pops. You'll notice that the flame doesn't have to even touch the balloon before the heat melts the latex and it pops." - Spangler
2. Fill the other balloon to the top with water (about 1/4 cup), blow it up, and tie. Place the water-filled balloon over the flame.
explanation: "As the water closest to the flame heats up, it begins to rise and cooler water replaces it at the bottom of the balloon. This cooler water then soaks up more heat and the process repeats itself. In fact, the exchange of water happens so often that it keeps the balloon from ever popping!"- Steve Spangler
Also, check out Andy Brain's thermal energy experiment with balloons!