That's Dutchman Mirin Dajo, the Human Pincushion, which confounded doctors because he could have a fencing foil plunged right through his body (passing through vital organs) with no apparent harm. He even allowed doctors to pierce him themselves and then take x-rays to prove that it was no trick.
The Human Marvel's got more on this medical marvel: Link | YouTube Link
The guy probably had some sort of armor shaped like his body and the sword just curved and deviated on the other side.
The x-rays were probably taken at angles that proved nothing.
I would love to see those x-rays tho.
http://youtube.com/watch?v=xvEH64F6Upk
Basically, he did go to india to learn the "science" of fakirs. On a scientific point of view, it's simple: Poke through the skin around 1/4", wait for it to cauterize, repeat. If you hit a bone or start punching through a vital organ? Try another point of entry. Very creepy result, but simple science.