It's an acting technique called Nouveau Shamanic, and it's based on ancient African performers who would undergo extreme preparation for their craft, including literally running themselves through fire. For those wondering why you've never heard of this ancient technique before now: It's because it was 100 percent invented by Nicolas Cage.
Not a scene from the film.
While speaking about his historical-yet-utterly-make-believe acting method, Cage sagely pointed out that, "Today you're called psychotic if you do that [dress up like a fucking psychopath and behave in a psychotic manner], but it's all semantics." He also admitted that his co-workers seemed afraid of him, but that their fear only made his performance stronger. Which we suppose is probably true, because if there's one thing we've learned about Nicolas Cage, it's that his performances thrive on the terrified confusion of everyone around him.