It comes from your heater. OK, that’s probably not what you’re looking for. Heat actually isn’t a form of energy but describes a transfer of energy from one thing to another. There is a thing we call thermal energy and that is related to an objects temperature which is basically related to how fast that objects atoms are moving within itself. So when you touch a hot object its little frenetic atoms bump into the atoms in your hand and transfers thermal energy to your fingers causing the motion of the atoms in your finger to increase. You say, ‘ouch’ and the whole process of the energy going from the hot object to your fingers is called heat.