9 below in Chicago

Strange but true: when it's 9 below zero outside, if you throw boiling water into the air, it freezes before it hits the ground. I saw this demonstrated on the news tonight, by someone from the Museum of Science and Industry, and then we tried it ourselves.

I have no idea why this works. We tried it first with cold water, because one would think that cold water would freeze more quickly. But it didn't work. (Physics teachers, or anyone else who paid more attention during high school science class than I did, feel free to explain.)