The only materials you need are two big steel bolts, one nut, and some wooden matches.
The basic idea is that the two bolts screw into each end of the nut, forming a small cavity between their ends. This cavity is filled with the ground up heads of matchsticks. When the device is dropped head-on onto the ground, the resulting compression creates enough heat to ignite the propellant and create a satisfying explosion.
WARNING: In most cases, the bolts stay together and nothing goes flying, but sometimes they can be released at dangerous speeds, liable to cause all kinds of damage (I, stupidly, had my lip ripped open by one of these bolts once). Use at your own risk with caution, safety and common sense.
Step 1: Materials
I have found that two 3/8 inch diameter bolts are pretty easy to find and work well for our purposes. The length of the bolts can vary from 1 inch to up to 4 or 5 inches. Longer bolts often work better as they allow the device to fall straighter and with a heavier blow. Thicker bolt might also give better results, as they allow room for more match heads.
The nut must fit easily onto the two bolts and their standard size is 3/8 inch in length. A longer nut might work better as it can provide more room for adjusting the locations of the two bolts, allowing both for more space in the cavity (more material, louder bang) and for more threads to engage (safer explosion).
Wooden matches work very well for this purpose because their ends pop off very easily and contain no wood. Strike-anywhere or normal kind both work, although the strike-anywhere are a little more sensitive.
Step 2: Assembly
Screw one of the bolts part of the way into the nut so a cup is formed. Put about three match tips in the cup at a time, screwing the other bolt on the top of the nut just enough to compress the tips into a rough powder. Then remove the bolt and add the rest of the tips incrementally. You can also crush the tips outside of the device and then add them at once.
Once all the match tips are added, screw on the top bolt as hard as possible with your hands. Be careful to not to use a wrench to exert too much force, as this might explode the device prematurely.
Step 3: Setting It Off
You can also try throwing the device up into the air to get a better compressive force, but in this case it may not land directly on the head of the bolt. You might try adding a streamer to one of the bolts to make sure it comes down vertically.
Reload and have fun!