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 simply 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.

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 coding.
 * Pyro Guys may have been renamed to their current moniker due to the fact that "flamer" is a slur for an effeminate gay man.