Brakes locking up?

Anyone ever have a problem with only one of the front brakes locking up? I was pulling into the parking lot today, and smelled something funky. Parked and pop'd the hood, but found nothing. Just lots of funky smell... My buddy was walkin by and said "Wow, you're tire's smoking a little" !!!!!!!! WTF??!!!???
So i proceed to pull off the front passenger tire and take a look at the brakes. The rim was pretty warm to the touch, but when I got it off the caliper and rotor were scalding. Probably could've cooked an egg on the dang things!

Has anyone ever had ANYTHING like this happen to them?
Any suggestions?