Fire resistance is a gameplay thing, its not like Dunmer in the "real world" could walk through furnaces unscathed. Afaik, cremation and sacred necromancy (being turned into a bonewalker/skeleton/ghost etc. to serve your family in the afterlife) are the two most common ones.
There are a couple books on it in Morrowind. I've gotta run and do stuff now, but I'll link ya to them if no one does before I return.