The Leidenfrost Effect is a lovely sounding name for some very strange and nifty physics.

When you heat up a liquid, it will, eventually, boil away into a gas. Different liquids have different boiling points. But here's the weird catch: When you suddenly put a liquid in contact with something much, much hotter than its boiling point, the liquid doesn't instantly evaporate. Instead, it forms a little cushion of vapor between itself and the heat source. You can imagine it like a hovercraft moving over the surface of a lake. The cushion doesn't prevent evaporation—and it doesn't last long—but it does slow down evaporation enough that you can see the liquid moving around on the hot surface for little bit like everything is just fine and dandy.

this is why you see drops of nitrogen shooting around the table when you drop some of the liquid, right?

Yes, they fly around on a cushion of "steam". Water also has this effect when put on a really hot surface, like a hot frying pan.