If you want to, you can make a pyramid shaped ballon, which i will explain later. (also involves blowing)
if you make a waxpaper or tinfoil one it will hold water better.
(Keep in mind, those also involve blowing)
You could fill these up with strike anywhere matches easy, and it will light on fire. (that involves blowing and throwing)
EDIT: I've included an additional diagram to help those who are, well lets just put it this way: "origamically challenged." As you can see, folding diagonals will help make a smoother transition
I personally don't go through the trouble of folding the extra diagonals, I just crease the diagonals while the figure is being folded.
thanks to http://www.folds.net/tutorial/bases/waterbomb/wb_base_diagrams.html for the extra pic
Step 1: Paper
smaller square, smaller balloon
for the pyramid balloon, go to the last few steps.
the best way to make a square is just to fold a top corner down so on the opposite side, it is flat. (excuse the image, i did it on paint)
Cut it off at the bottom and unfold