A jelly fish sting isn’t fun. Here’s the latest on
treating them from a paper delivered to the
American Academy of Dermatology’s 57th Annual
Meeting by Mark J. Scharf, M.D., University of Massachusetts Medical School:
Before removing the jellyfish’s tentacles, either vinegar, baking soda, or
  meat tenderizer should be used to disarm the nematocysts (stinging capsules)
  that inject the poison or the venom. If these are not available, use seawater to
  rinse off the tentacles. Fresh water, alcohol, ammonia, or bleach should never
  be applied to a jellyfish sting because these cause the nematocysts to discharge
  their venom.  
After disarming the nematocysts, carefully remove the clinging tentacles of
  the jellyfish. An ulcerated or open jellyfish wound should be cleaned and an
  antibiotic ointment applied. Analgesics, ice packs, and topical anesthetics can
  relieve acute pain. If you experience systemic symptoms or a severe allergic
  reaction, seek emergency medical care.