Fire works are fun, but this is an awesome experiment you can try at home to make your own homemade sparkler using just steel wool. Since the metal is shredded into such small piece, it easily burns when lit on fire.
The Crazy Russian Hacker took a large piece of steel wool and by attaching to to a rope was able to spin it around in his backyard to make a giant spraying sparkler. Of course, it you do try this at home, please be very careful!