Do you have access to chemicals? There are some really fun things you can do, but most aren't easily improvised.
One fun thing to start off with just Salt Peter (KNO3 - Potassium Nitrate). Mix it one part with two parts sugar and light it up. It's the best smoke bomb you can make. You can get salt peter at any drug store. If you want to spice it up, try throwing in some aluminum powder or iron filings. Copper sulfate will make the flame blue.
Be careful about using things that will contain any pressure. If you do this, or start playing with gun powder or anything, use model rocket igniters and keep a very safe distance. I know a few people with missing fingers and such from this sort of thing.
Another fun thing is to try and make your own homemade gunpowder (Salt peter, charcoal, and sulfur).
There is lots of info in the library.
