They are illegal for private citizens here in Illinois, have been for years. But they are easy enough to get if you cross the state line, one of my neighbors does it every year.
I do have a horror story, this happened to a friend here while we were living in Tennessee. A very, very close friend of ours obtained some illegal fireworks for the 4th. He had his best friend over and they were shooting them off.
Our friend tossed an M80 type explosive to the end of his driveway. He *H* and friend *J* waited and waited. Nothing.
*J* started walking toward the end of the driveway. *H* said wait. *J* kept going. He went to pick it up and it exploded blowing off his head and killing him instantly. Our poor friend *H* was horrified. He just witnessed his best friend get killed in his driveway with his fireworks.
Needless to say, aside from the legal prosecution, he was also sued by his friends family, and lost. A real tragedy and just not worth it.