Yes I have. I have a Pyrotechnician's permit. Do not attempt this under any circumstances without the proper permits, technicians and safety crew. The risk reward is to great.
Depending on where and what you will be doing you will need a certified pyrotech, an ATF, county, state and local permit as well as assistance from safety crews (EMT and FIRE).
This is of course a worse case scenario. If you are lighting a Black Cat in your backyard you want need any of the above.
I have been involved in pyro as well, and +10000000 on Paul's post above. Pyro can get people killed or horribly disfigured if done incorrectly (meaning you need to KNOW what you are doing), not to mention extensive property damage, all of which you would be responsible for, if you were the person that caused it or were in charge (on any level) of the set where it happened.
But when done right............delicioso! You don't even need a camera to see if it went well. That's the cool thing about SFX over VFX. You see the effect first hand. Capturing it on film just makes it all the better.