They use the monopropellent Hydrogen Peroxide, so I jumped over to wikipedia to find out more about it. Sure you can buy it at your local pharmacy, but the good stuff is far more concentrated and a lot harder to come by. Handling stuff over 70% concentrated turns out to be really dangerous and so they tend not to sell it to people trying to build their own backyard rocket packs. This has led to people trying to concentrate the stuff themselves, usually to the detriment of anyone in the immediate vicinity. There are also other ways to hurt yourself with it and apparently spilling it on your clothes can cause them to spontaneously combust after a period of evaporation of the water.
Anyways, one of the big dangers from Hydrogen Peroxide is BLEVE which I know all about from reading about steam. That's when a bunch of stuff that should be a vapor but is a liquid because its under pressure, rips apart the container its in when a leak forms allowing the entire contents to vaporize instantly. (Translation: very big boom)
Because of the thousands dead in numerous accidents the 1800s when steam vessels failed, you're basically not allowed to run a steam engine without certification & annual inspections. Tanker cars for propane had to be redesigned in the 1960s after numerous fires turned into massive explosions, killing or wounding everyone in the vicinity.
While a picture is pretty impressive of one of these, I figured a video would be even better, so I went browsing around on You Tube.
Didn't get to the explosions of fuel tanks, but this science teacher sure looks like he was putting his life on the line just to try and blast some interest in science into his class. Go see the entire series, starting with Mr. Smiths Liquid Nitrogen Demo (vid 1).