Not often found in the US, burnt sugar almonds are called "gebrannte Mandeln" in German and are most often purchased at open air markets such as "Kirmes" "Schuetzenfeste" or "Weihnachtsmaerkte".
Burnt sugar almonds are caramelized sugar-coated nuts, usually cooked fresh in copper kettles at the festival. Sometimes you can buy them still warm, but they become harder, like brittle, when completely cool. Served in small paper cones in 100 gram portions, "gebrannte Mandeln are a treat you should not pass up if you see them at a stand.
You can recreate these tasty treats at home if you are so inclined. They are simple to make, but take about 30 minutes of careful tending.
Make a paper cone (Papiertüte) to package your candy - see here.