Colored sparklers and lots of tape. Be warned, if you get caught with one you'll do time in the big house.
It is considered a bomb. Bunch of dummies on youtube showing how to do it. I don't recomend or condone the building of bombs.
Saw on the news a couple days ago some kids building sparkler bombs and static electricity set it off. one is now deaf, one lost a hand and both are going to prison. Something to think about if you want to make one. (they are cool as hell though)