Once a shell or rocket reaches the proper height in the sky, a burst of black powder distributes the visual effects. In the vast majority of fireworks, those effects are stars.
Stars are hard pellets of a pyrotechnic composition that are primed to ignite when a burst charge shatters the shell they are contained in. There are several different methods to make stars, and they can take a variety of shapes. The most common method is to roll composition onto cores as will be demonstrated in the following video. With the rolling process of making stars, they can be made to change color mid flight by starting to roll with one composition, then switching to a different one for the outer layers.
Another common process for making stars is to ‘cut’ them. To do this, a large amount of composition is wet with water or whatever solvent is required to dissolve the binder until the entire mass becomes the consistency of clay. It is then spread out on a sheet like cookie dough and a ruler or spatula is used to dice it into squares. The square stars once dry do not fit as nicely into spherical fireworks shells as rolled stars do, but they work quite well in canister shells and star mines. They are very quick and easy to make, and so I prefer to use them whenever I can. Here is a video showing the process, which I realize severely needs to be remade at a better quality:
There are a handful of other methods for producing stars, such as pumping or screen cutting. Those methods will be detailed at a later date. One of the above two methods will produce stars fit for use in nearly all fireworks.