According to the 2003 edition of Oxford Dictionary of English:immolate/'ɪməleɪt/
verb [with obj.] kill or offer as a sacrifice, especially by burning.
-DERIVATIVES immolation noun, immolator noun.
-ORIGIN mid 16th cent. (earlier (late Middle English) as immolation): from Latin immolat- 'sprinkled with sacrificial meal', from the verb immolare, from in- 'upon' + mola 'meal'.
Interestingly, most english to japanese dictionaries offer the word 自己犠牲 as a japanese equivalent for 'self-immolation'. It does mean literally 'self-sacrifice'. The thing is, when one types it into a Google image search, it yields almost nothing but pornographic results. Those wishing to search pictures of self-immolators should use the term 焼身自殺 'suicide by burning'.
After I wrote all of the above, the universe attempted to tell me something.
Word of the day at Wiktionary.
Word of the day at The Free Dictionary wasn't quite as frank, but still, pretty damn close.