I think a big part of it is that they're dangerous. It's fun to experience just a tinge of fear from how big they sound, or even just from being near the little street versions. It's a (relatively) safe way for us to experience something that would otherwise be terror inducing explosives.
I mean, safe aside from all the accidents that happen every year. Like kids blowing off fingers or what have you. I mean I get it, but having any random Joe be able to buy a ton of explosives then go home, drink, and play with them seems needlessly risky. Especially in dry areas where fires can start or around large groups of people.