Safely burning resistors - carbon film vs. metal film
Carbon film leaded resistors can "track" and end up a glowing red ceramic rod, depending on the value and applied voltage. 

Metal film resistors usually just open up in  undramatic fashion, sometimes with a tell-tale spot of black through the lacquer for through-hole types. 

Cement wirewound resistors (the rectangular ceramic type) can explode. 

There are bound to be nasty chemicals liberated from the burning lacquer in the first case. 

If you're using relatively high (eg. mains voltage) to fry your resistor, you may wish to ensure you're using an appropriate (eg. Class C) fire extinguisher so you don't accidentally demonstrate electrocution.