Quick explanation of thermite:
A mixture of iron oxide Fe2O3 (rust) and aluminum powder. When it is ignited the aluminum powder reacts with the O3 part of the rust in a highly exothermic reaction, the resulting product is molten iron.
Thermite is commonly used in welding, because the molten iron has the ability to seep into cracks in metal. It cal also be used to melt through things as shown in an episode of Brainiac and the movie The Sixth Day.
I have made thermite a few times, but never in large enough batches to burn through anything significant. Aluminum powder is hard to come by and I never had a good enough reason to use what little powder I had.
Step 1: Materials
1. Iron oxide
2. Aluminum powder
3. Magnesium ribbon or thermite ignition mixture
For a more exotic mix you may also want to buy:
4. Barium Nitrate