>> Friction against what?  Newton's 3rd law...
>
>  Against the ground

Equal and opposite torque on the person and the Earth ... angular momentum 
is still conserved.

> and the air.

Same for the air - assuming you take the air as being part of the "Earth". 
If not, then well you've got an external force on the system and angular 
momentum will not be conserved (but at some point the air will have some 
other effect on the Earth that will cancel out, the wind can't keep getting 
faster and faster for ever).

>  Friction causes heat, and the energy for that heat must come from 
> somewhere.
> I cannot be produced from nothing.

The heat is produced from the energy you need to maintain the force over 
time (ie work done), eg from your food that you use to push your legs, or 
the electricity in some electric motor.  Without that there would be no 
force against the frictional force and the spinning would eventually stop.

Momentum (both angular and linear) is ALWAYS conserved in a system with no 
external forces, always always always.  It's simply impossible to change the 
momentum of a system without applying some external force (or torque).

Energy is also always conserved, but you have to consider ALL the energy 
going into and out of the system, including heat, kinetic, any potentials in 
gravitational/magnetic fields, chemical etc.  Look up the laws of 
thermodynamics for further info.

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