In 1960 Joe Kittinger jumped from an altitude of 31,200m (102,800ft) setting several records, one which remains unbroken! (Update : Felix Baumgartner, with the help of Red Bull and guidance from Joe himself, has now broken highest ascent, highest parachute jump and fastest speed)
Dnb Track is "Balderdash - Marcus Intalex"
Why didn't he burn up? Basically, he wasn't going fast enough to 'burn'. The air gradually gets thicker, and so he slows down gradually without getting hot enough to combust (though I wouldn't recommend this with bare skin!) Things that do 'burn up' in the atmosphere due to friction are moving at much higher speeds. For example, the space shuttle re-enters the atmosphere at around 28,000km/h (17,000mph) though is able to deflect the heat with it's ceramic tiled underside. Meteors (shooting stars) are moving at even greater speeds, and usually disintegrate completely before reaching the ground