"CECE is fueled by a mixture of -297 F liquid oxygen and -423 F liquid hydrogen. The engine components are super-cooled to similar low temperatures–and that’s where the icicles come from. As CECE burns its frigid fuels, hot steam and other gases are propelled out the nozzle. The steam is cooled by the cold nozzle, condensing and eventually freezing to form icicles around the rim" - From NASA

http://science.nasa.gov/headlines/y2009/15jan_cece.htm