Pyro Guy

Pyro Guys, originally called Flamer Guys, are a type of Shy Guy that is permanently set on fire.

Super Mario World 2: Yoshi's Island
Flamer Guys first appear in Super Mario World 2: Yoshi's Island. Should Yoshi eat one, he gets the ability to spit three shots of fire. Flamer Guys move quicker than normal Shy-Guys.

Yoshi's New Island
Pyro Guys return as enemies in Yoshi's New Island in the level Pyro Guy Peak behaving in the same way as they did in Super Mario World 2: Yoshi's Island. Unlike previously, they are inedible, so Yoshi has to either avoid them or throw an egg at them. They also spawn from Warp Pipes, similar to regular Shy Guys near the end of the level.

Tetris Attack
Flamer Guys serve in Tetris Attack as Gargantua Blargg's partner.

Paper Mario
Pyro Guys appear under their current name in Paper Mario, situated in the Shy Guy's Toy Box. They run and attack twice as fast as normal Shy Guys and deal more damage. Pyro Guys are fiery enemies, and as such are weak to ice, water, and explosive attacks.

Super Mario World 2: Yoshi's Island

 * Shogakukan guide: 火だるまになって走り回っている. 食べるとファイアーが使える. (It runs around as a fireball. If you eat it, you can use fire.)
 * Player's Guide: "Don't play with matches," his father said. "You'll get burned," his mother said. But did he listen?

Yoshi's Island: Super Mario Advance 3

 * Shogakukan guide: 火だるまになって走り回っている. 食べるとファイアーが３回使える. (It runs around as a fireball. If you eat it, you can use fire three times.)

Yoshi's New Island

 * Shogakukan guide: 炎に包まれたヘイホー. 炎のために触れられないので、タマゴを当てて倒そう. 突進してくるものと、跳ね回って体当たりしてくるものの2種類がいる. (A Shy Guy engulfed in flames. The flames make them untouchable, so you must hit them with your eggs to defeat them. There are two types: those that rush at you and those that jump around to hit you.)

Trivia

 * Pyro Guys were originally going to reappear in Paper Mario: The Thousand-Year Door, but were cut from the game. "fire_heiho" is still present in the game's data.