This happened not far at all from my office, just as I was heading home from work.

This is why I always have an N95 mask with me in the city:
http://news.yahoo.com/photos/ss/events/us/071807nycsteamblast/im:/070719/480/4d44decea5ea49bba89e9e121f8f5be0;_ylt=AsNqMd8EDWo1Emva1LQYNgFsaMYA

The pipe is presumed to have been covered in asbestos.

Cause is reported as cold water hitting a 24" steam pipe.

NYC has an extensive steam pipe network. The steam is used both for heat in the winter and to operate air conditioner compressors in the summer. The steam is produced in the power generating stations located around the city.