What goes into fireworks? A combination of things that include fuel, an occasional colorant, and the most important part of any pyrotechnic, an oxidizer. Because of that oxidizer, you'll get to see sparklers in water basically blow up a test tube.
We'd see a lot more fires in the everyday if there were more oxidizers around. The reason the yule log that you probably spent yesterday watching on television doesn't go up in a massive explosions of heat is fire can only break out when it has oxygen, and it only has oxygen where log meets air. Fortunately for those who do want to make the log (or other types of fuel) combust, there are are things like chemical oxidizers available. The chemical formulas of oxidizers always end in multiple Os, like potassium nitrate (KNO3), strontium nitrate (Sr(NO3)2), potassium perchlorate (KClO4), ammonium perchlorate (NH4ClO4), and barium chlorate (Ba(ClO3)2). Potassium, barium and chlorine all feature regularly in oxidizers because they are most likely to give up those multiple oxygen atoms to the fuel source. They allow things to burn at an accelerated rate and stay burning in situations where they would otherwise be stifled, like underwater.
In this video, fireworks are stuck directly into water and keep right on burning with no oxygen available. In most sparklers, the fuel is metal powder, which produces the characteristic sparks instead of just little flames. The oxidizer is usually potassium nitrate, which is the same thing you can use to for homemade smoke bombs. The first few tries produce the usual bubbling water, and the occasional tower of flame, but I have to say I like the 1:20 combination best, when the lack of sufficient water causes the sparklers to push much of the water out using released gas, burn high, and destroy the test tube around them.