Check out this explosive video tutorial on how to make professional grade homemade black match fuses. This should only be done by experienced people with a pyrotechnics background, and for people who happen to have black powder laying around the house.
This is specifically a black match fuse, which is used in a lot of fireworks and other pyrotechnics. You need highly granulated black powder, string, water, a spare container and lid, scissors and a drill bit. Now, it's perfectly legal to make this, because it's just a fuse, not an explosive, so don't worry, have fun and be safe.