I’d like to propose the following rule:
The only time it is appropriate to burn a religious text is as a ritual of personal liberation from that religion.
This implies that you once practiced the religion, and that for whatever reason you no longer do. It also implies that you now view the dictates of that religion as tyrannical, wrong-headed, or evil, thus justifying the strong symbolism of the burning ritual. Note that this would exclude burning the holy books of others with whom you are currently having a spat.
Glenn Beck shares his perspective here.
I found Wretchard’s post on the Pastor Jones controversy thought provoking.