well, I'm not sure "don't try this at home" even begins to cover it, especially since I am planning to try this at home myself at some point, but here goes:
I am posting this more for my reference than anything else, in case I forget to try this.
A guy at work told me about a cheap alternative to fireworks he tried one year, and it really impressed him and his family, not to mention his neighbors.
Water spouts, from what I understand. Huge splooshing watery explosions.
The secret being dry ice.
He said he placed some crushed dry ice in a two-liter plastic Coke bottle filled with hot tapwater, twisted the cap on, and then ran.
Boom! Sploosh! Patter...
Apparently, dry ice is nowhere near as expensive as regular fireworks, although I don't know where to get it at the moment. I don't think it's hard through, because their are plenty of applications, industrial and otherwise.