The ability of a system to take in heat is measured by its heat capacity [local] . This is an extensive quantity. The relative effectiveness of a substance at holding heat is measured by its specific heat.
Molten lead, for example, does not have an extremely high heat capacity. As a result, before the serious hazards of inhaling lead vapors were fully appreciated, chemical demonstrators would pour molten lead over their hands. While we do not endorse these, typical procedures for using molten lead [local] are available on the Web.