Black powder is the most common low explosive (LE) used in pyrotechnics. It is also the oldest, believed to have been created as far back as the 6th century in China.

Standard black powder is a mixture (by weight, as with all comps) of 75% KNO₃, 15% charcoal, and 10% sulfur. Other ratios are sometimes used for different burning characteristics, and effects stars can also be made using adjusted BP ratios.

Procedure:

Black Powder Basics and Manufacture - United Nuclear's page on making BP, including pictures.
Wouter Visser's BP page - Describes both milling and precipitation methods.

There are plenty of other pages on making BP, but they all say essentially the same as the two above. The precipitation method is a pain, and it's definitely worth it to buy or build a ball mill. Personally, I've never bothered with the precipitation because it's very time consuming. I have not taken pictures of BP production, if you want to see some, look at the United Nuclear link above.

"Lifting powder"

After milling your powder, you'll have very fine stuff that still needs more work before using in many applications, such as lifting or breaking an aerial shell. The powder must be made into grains, and there are several ways this is done. The ideal way involved wetting the milled powder, pressing it with a strong hydraulic press, then breaking up the hard chunk into little pieces. For those of us without a press, there is another way that might not be the best, but still works well. The process is described on the above United Nuclear link, and I have taken pictures of doing it.

10g of dextrin is added to each 100g of milled black powder. This is then mixed together well by shaking in a sealed container.

Once mixed, the BP/dextrin is wetted with water. Add it slowly until it starts sticking together, it should look something like this:

Next, the wetted powder is pressed through a strainer to form grains. I press it thought with my hands while wearing gloves, and scrape off the formed mixture with a spoon as it comes through the screen.

After you have pressed the mixture thought screen and scraped it off, it must be spread out and dried.

Once dry, your grained BP is ready to use!