Didn't notice this thread earlier, but I don't see what is a very common technique for this. As mentioned, your location and setup should be well planned. If background objects are not important then being upwind can help. If they are (in Seattle I think they have a fireworks show around the Space Needle, have seen some terrific shots,) then of course plan earlier in the day where to set up that gets you the background you want. Being a little further away helps, at least a short telephoto. Not much control over where they explode, so probably best to crop a little wider. Important for this technique is to be a pretty dark place without much else going on ... no car headlights etc. Without this you'll just have to try and shoot them as they happen.
If you are including other elements, right before the show starts, do test exposures to get your background about right (tough because it probably isn't dark, but try to get an idea). You want to land somewhere around 5 seconds (depends on how many bursts you want to capture). If your f/stop gets too small the fireworks might not show up. This can vary depending on how bright they are. The better ones are pretty bright, around f/11 or even f/16 might work.
Have a black card, about 10" square or so... preferably a cardboard covered with black velvet (not felt) you can buy at a fabric store. Now it's pretty simple. Put the cardboard in front of the lens - obviously careful not to touch it and move the camera, open up the shutter either with a 15 or 30 second exposure or preferable using bulb, and when you see one take off, you want to move the cardboard away right before you think it will burst. Usually each time you move it away you'll try to estimate holding it for about 1 second then cover the lens again. So if your base exposure for your background is 5 seconds, then capture 5 bursts, close the shutter. If their isn't anything else showing up in the photo (no lights or buildings) you can probably capture as many bursts as you want. How many in this case depends on if they spread out through the sky of they all explode about the same location.
Quite a bit of of luck involved in this, but you get the hang of it pretty quick. Hopefully you can tell from your first shot (you may want to do just the first couple of bursts to see if your f/stop is about right for the fireworks).
It's sort of a hit or miss thing, sometimes you'll get lucky. You may want to change f/stops to capture longer or fewer bursts. Some shows are much more impressive, so capturing multiple bursts isn't as important. If you setup this way you can have the option of doing either ... easy to time moving the cardboard once you get the hang of it.
Here's a Seattle based photographer with a few shots, a couple of them use this technique.
http://tinyurl.com/6gqadusI messed around with this using a 400mm DO lens from my backporch last year. Not great (not a particularly impressive show, just a small town celebration), but this is 4 or 5 bursts.
