Bottle rockets are cool but what's really cool are those big long rockets. I have a whole bunch of them. You have to build a launching ramp of sorts to stand them upright before you light them off.
Oh you know whats really fun to do is to take one of those little spinning things I think they're called "spinning ground lotuses" or something anyways its really cool to light them and throw them up in the air, preferably with a slingshot or something to get them really high up. They don't do much in the air but they explode when they land (if you time it right), pretty neat
One time my brother and I got some of those little things that make colored smoke we put it in a neighbor's mailbox and turned the inside green... maybe not a very good idea, that..