Casings are an essential part of pyrotechnics because low explosives (with the exception of flash powder) need a casing to explode. You need casings for just about anything, lighting loose piles of powder is not very exciting. If you are doing "pure" stuff i.e. shells, fountains, you can get a lot of casings from people in the supplies section. If you are doing less conventional stuff, mostly homemade salutes that don't use flash powder, you will often use improvised casings. Not only is it cheap and easy, its fun to use funny casings. Just about anything hollow can work, it should be strong, and just one main hollow area. If its not strong enough, as is often the case, reinforce it with lots of tape.
More info on casings and making plugs: RatÔø‡s Casing & Endplugs section.
Homemade end plugs: