The conventional theory of burning works well in the case of uniform media where all system parameters are spatially independent. We develop a theory of burning in disordered media. In this case, rare regions (hot spots) where the burning process is more effective than on average may control the heat propagation in an explosive sample. We show that most predictions of the theory of burning are quite different from the conventional case. In particular, we show that a system of randomly distributed hot spots exhibits a dynamic phase transition, which is similar to the percolation transition. Depending on parameters of the system the phase transition can be either first or second order. These two regimes are separated by a tricritical point. The above results may be applicable to dynamics of any overheated disordered system with a first order phase transition.