Bubbles form off the lithium because of its reactivity. A stream of smokelike bubbles comes off of the sodium as it changes the water's color. Potassium explodes in a furious reaction.
The gas observed in each circumstance is the hydrogen produced when the metal hydroxide is formed. The potassium produces this gas the fastest because of its highest reactivity, hence the violent explosion. Sodium and lithium's reactivities are correspondingly seen to be lower (lithium having the lowest) so their reactions aren't quite as explosive. This is why lithium does little more than bubble and sodium spins quickly in a cloud of gas.
The gases produced in these reactions may catch fire because, in all cases, it is hydrogen gas. This is a serious concern when dropping the metals into long containers with narrow necks; however, because the containers used are shallow crystallizing dishes, the dangers are minimized. To furthur reduce the risks associated with this experiment, demonstrators may wish to cover most, but not all, of each crystallizing dish with a watchglass.
It may be noted that all of the metals float in the water, denoting a density less than that of water.
An NSF funded Project