The answer depends on what you mean by "burning". If you mean applying heat, then one common application is in matches where the sulphur in the head of a match ignites through friction to produce a flame. Sulphur is also used in making fireworks and gunpowder. The human body (and living cells more generally) need sulphur to produce amino acids which form protein by chemical "burning", that is, without producing an actual flame.
Sulphur can be converted into a luminous plasma, which has a distinctive yellow-orange glow, by being bombarded with microwave energy, hence its use in street lighting. Plasma is a very hot gas so it could be said that the sulphur is burning to produce a bright light.