Somewhere in the back of my head, I recall that stacks of hay bales, if still wet when bailed, can spontaneously combust. So while the visual is mighty entertaining, I'm not sure I would want to be adding moisture to the center of a large hay bale.

From Wikipedia: "Hay baled before it is fully dry can produce enough heat to catch on fire. Farmers have to be careful about moisture levels to avoid spontaneous combustion, which is a leading cause of haystack fires."