It's common knowledge to use milk to relieve that burning sensation you get when you've eaten (or handled) chilli. But if you don't have milk, try sucking on a little sugar.
This tip comes from the folks at CHOW.com. While they point out that the heat will come creeping back when the sugar is fully dissolved (because the sugar is acting more as a sensory distraction than actually removing the capsaicin chemical responsible for the heat), it's a lifesaver if you don't have milk. Milk is preferable, however, because it actually binds to the capsaicin and soothes the burn.