The magician is locked in a building, which is subsequently set on fire or blown up. Later (sometimes much later -- perhaps during the magician's funeral) the magician shows up unharmed.
The trick here is as bold as it is clever. The magician really is led into a building and locked inside without a key. From this point, there are two ways in which the magician can ensure survival during the coming conflagration.
The simplest method is for the magician to simply exit the building through the back door. Non-magicians do not generally realize that doors locked from the outside can generally be unlocked from the inside without a key. The magician then circles around the building and hides in the crowd. If anyone asks why the magician looks so much like the guy who's about to be burned to death, the magician feigns ignorance or, perhaps, claims to be an unrelated twin brother.
A much more daring method -- one which can be used if the back door to the building is being watched -- involves misdirection. After the magician enters the building, there is a series of dramatic speeches, a brief interview with the fire chief, and maybe a spectacular song and dance number. When this is over and it's time for the pyrotechnics, the magician's assistants focus not on the building with the magician in it, but on the identical building next door to that one! It is this next door building that is demolished, leaving none the wiser because in the time that passed since they last saw the magician, the audience had ample opportunity to forget exactly which building was entered.
The magician can then be let out of the building after everyone has gone home.
Note: Before demolishing a building, a responsible magician always makes sure that nobody is living inside and that permission has been obtained from the building's owner. It is not advisable to perform this effect impromptu.