There are a couple of youtube demo vids out there It is interesting to see the control of the power of each small report, as you get towards the end of the demo they get louder.
Judging by the chemicals used in the composition they have gone for a very high gaseous output with minimum residue.
I wonder If the chemicals are sprayed into an electric arc or onto a heating element??
Not a project for the inexperienced. It would be interesting to see a cross section of one of these. I guess the guys on here who are involved in commercial pyrotechnics may know more.
It would probably be difficult and possibly questionable to aquire some of these chemicals even if there is no direct lawful implication. Not to mention the high energy levels released if it went wrong!
precursor chemicals such as bipyridine and acetic anhydride etc. can form a legitimate part of your reagent stock if organic synthesis is your thing. For others out there the pupose of these chemicals is not so innocent and lead the amateur into a very grey area. A side topic for another section of the forum really.