I would NOT want the water; water would flow around and get your hand. Heat transfer from water to the hand will be effective, since the contact area will be larger than it would be for a solid.
Especially if it were steam; steam has a much higher heat content and can cause far worse burns. Also, heat transfer on condensation is around 10 times what it is for simple conduction. THis is why steaming veggies cooks them faster.

The key to this problem is the value of heat capacity; for water it is 4.184 J/gC. Look the other two up on wikipedia.

THe key number is the heat that can be released into your hand.
Q = MCDeltaT
Since M = 100 g for them all, and DeltaT is the same, it comes down to C

Now, if iron and copper have very close C values, then go for iron as it conducts heat much less well than does copper, which will result in less of a burn.

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