Question: Twice in the books Daenerys has been in situations where it is reasonable to expect that she would have been burned to death, or at least seriously injured, yet has come out unharmed.

The first time was when she stepped into the funeral pyre of Khal Drogo, which resulted in her dragon eggs hatching. The second time is in *A Dance with Dragons*, when she is exposed to Drogon's fire.

In both instances, all that happens to her is her hair is burned away.

I can't be certain, but I believe there may have been references in the first book to her touching burning coals and other hot materials, as well.

Is this a trait shared by other Targaryens? Her brother certainly wasn't immune to molten gold, and while a number of Targaryens were fascinated with fire (Aerion Targaryen died from drinking wildfire, believing it would turn him into a dragon), I don't recall seeing mention of any Targaryen shrugging off fire.

Is Daenerys' apparent immunity explained anywhere?

Answer: 
From the last chapter

Dany can be burned. 

> 
> Her skin was pink and tender, and a pale milky fluid was leaking from
>  her cracked palms, but her burns were healing.
> 
> 
>
During the funeral pyre incident the witch who was burned alive was chanting a spell, that may have been intended to confer fire protection onto the witch, but ended up being misdirected onto Dany. 

As has been stated by Beofett, she ducked Drogon's Fire. 

The other two cases of her 'heat' resistance where the higher than normally comfortable temperature of her bath, and her touching the dragon eggs after they were heated to the point when another would be burned. These indicate she has some inherent heat resistance. 

Some people criticise the show for making more of her heat/fire resistance than the novels; but since the author has been closely involved in the show, I don't see that as being a 'mistake' on the part of the show.