Haha, first off they don't burn it off. It is pine tar that's caked onto the helmet in addition to dirt from the field. They do it so they have sticky pine tar on their helmet to reach up and touch to keep their hands sticky and more comfort on bat. Also, they do it because it looks cool. Half of Baseball is looking good.
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I've never heard of players burning their bats. but i have heard of them "boning" their bats.
the process of boning the bat is rubbing a raw bone across the surface of the bat. they do that because it compresses the wood on the bat, and makes it denser and makes the ball come off the bat faster.