Why does it feel so painful when particles in steam condense with your skin?

When substances change state, or under go a phase change (solid to liquid, or liquid to gas), it takes a transfer of energy.

This can be several times the amount of energy to raise the substance a degree in temperature. This is also the reason why boiling water tends to stay at 100°C until all the water boils away.

So, when boiling water, one must add energy (the heat of vaporization)

When condensing water, one must remove the same amount of energy.

It takes 1 calorie to raise 1 gram of water 1°C.

It takes 539 calories to turn 1 gram of water (at 100 °C) to steam.

So, if 1 gram of steam (what was 1 ml of water) is condensed on your arm, it actually transfers the amount of energy to your arm equivalent to dropping the temperature 539°C, or equivalent to dropping the temperature of over 1/2 liter of water a single degree Celsius.