Making sound effects for games can be a very interesting pursuit, especially if you're talking about where sound effects come from. If you're interested in sound effects and how they're made, you might find this article informative. It also contains sound samples to listen to. You can find it here, it is called Fireworks Sound Effects.
I thought I would just add in that I have just completed a royalty free sound effects album titled 'Oriental Fireworks' that may be helpful to those looking for high quality fireworks sound effects. It contains 17 tracks of 24bit 96kHz audio samples of various fireworks events.
These samples work well with original fireworks visuals as well as animations and titles, due to their strong, explosive qualities.