I pretty much made this tutorial because I was asked to add fireworks to a landscape as coursework in university. I didn't want to just get brushes and do it that way (they wouldn't look as nice) so I set out to create my own and after about 3 hours of playing around with different filters and effects I came up with this and thought it was worth me making a tutorial about.
Anyway, here is what I ended up with:

I basically went for creating a kind of star wars hyperdrive/lightspeed space look, but in a circle to look like a firework. After that it was just colouring it that was left to do.
http://www.freedivs.com/tutorials/Create%20Fireworks/Enjoy,
Nick