Lots and lots of different chemicals. Please note, this is for intellectual purposes only. Do not go out and buy a bunch of sodium chloride and try to make your own.
The Works Children's Museum in Bloomington Minnesota put together this handy guide explaining what chemicals are used to create a variety of fireworks colors.
While it's topical and interesting, it's also dangerous since July 4th is not well known as a sober, intelligent decision making holiday.
Be safe out there, kids!
Hat tip to Boing Boing