A few days ago I was constructing a form for a stone and concrete bridge, using foam core board and hot glue. After applying some glue, I reached under the arch of the bridge to make an adjustment, and put my fingers into a large blob of molten glue. Fortunately I happened to have a bucket of cold water a short distance away.
Unfortunately, it took me several seconds to remember it was there, so I still ended up with a very bad burn. But it could have been worse, with no way to get the glue off and nothing to cool it. So keeping a bucket of cold water handy when using hot glue is a good idea.
Alternately, one could just keep a camcorder on hand to record the “dance of pain” and maybe make a few bucks on “America’s Funniest Videos”. 
I learn back in college to avoid the hot glue gun for the same reasons