Some liquids will burn because when their molecules mix with the oxygen in the air the mixture becomes combustible. The application of heat promotes the necessary chemical reaction to put the molecules into more violent motion, so that they collide at high speed. The jolt loosens the bonds and makes it easier for the molecules to rearrange themselves and escape from the liquid to form a vapour, mixing with oxygen in the air.
The most important liquid which will burn is crude mineral oil from which petrol and paraffin are produced. Others include tar and creosote, and the very explosive nitro-glycerine.