Not sure if this is true, but it's the only explanation I know. The frame that the top half of his body is at a 45 degree angle (roughly). Well, when he first lies down on the platform (before the saw comes down), they pull up some boards on his side, thus briefly obscuring his body. At this point he puts his legs into the bottom part of the frame (so his legs and body are at a 45 degree angle). The legs on the other side of the saw are well-made fakes controlled with a remote.
Like I say, I don't know if there's any truth in this. Maybe it's just magic! His flying trick is better in my opinion (if it's done with wires, how does he do it in a box? And if it's camera tricks, how does he do it in front of a theatre full of people?).
And I know how David Blaine does his levitation one too, but I'm not telling! Anyone have any ideas on Penn & Teller's gun trick?