Ever use a pump to inflate a tyre? I've given myself small burns by underestimating how much heat was released by gas compression. When you release the pressure, the gas cools, like when using a spray can - it can also get very cold.

Different gasses will change temperatures at different rates when pressurised, this is given by the Joule Thompson coefficient Hydrogen is a notable one, as it has a negative coefficient (i.e. it does the opposite of most gasses) near room conditions.