Thermite is a powdery substance that when lit (by magnesium) gets really, really, hot. It is legal to make (I'm pretty sure!) Anyway, it's pretty cool.
Making itThermite is made of Powdered Aluminium and Iron Oxide (Rust). When making this I suggest you use gloves and glasses. And make it outside to be safe. Anyway, Thermite is 8 grams Iron oxide to 3 grams Powdered Aluminium. Anyway. Both of these could be bought at a paint store. Anyway, mix this, and now you have Thermite. Now if you mix it 4 part Thermite 1 part clay or Playdo, you can actually make moldable Thermite (I love doing this).
Lighting itLighting it requires extreme temperatures. To light it, you have to use magnesium. Find some magnesium ribbon, or a sparkler that contains magnesium and put it into a pile of thermite. Then light it with a torch and run!
WARNING: DO NOT LOOK DIRECTLY AT IT. IT IS REALLY BRIGHTNext time I make I'll post pictures. Though heres a picture:

then..
