There used to be these two neat types, Buzzy Bees and Little Swallows, which had two angled wings (sorta like helicoptor rotor blades) attached to a cylindrical body. Once you sparked 'em up, they'd spin off up into the air. Neat stuff.

Catherine Wheels are pretty cool, too.

And then there were those rockets that had a little 'parachute man' inside them. After they explode, this smouldering plastic dude would float down on a paper parachute. Classy stuff