I found BurnJel Plus (first aid for burns, scalds and sunburns) to be effective.
The relief wasn't immediate, but it had a nasty steam burn to contend with.
The first choice, of course, is a bag of niblets or peas right from the freezer! The bag conforms to just the right shape, and the contents make a comforting "shushing" sound as I dance around the room from the pain of the burn.
For burns in more, um, awkward places (like the tummy from splashing sketty sauce), nothing to do but hold the ice baggy in place for a while.