- Use a long exposure
Traditional fireworks don't last long enough and generally aren't bright enough to properly capture with a quick shutter speed; If you set your exposure for 1/300th of second, the lens will only be open for a fraction of the bang.
It varies with your ISO settings, but usually a one-second exposure will do it, although 2-3, or even longer will give you more of the popular "trailing" effect. We shot our Fourth of July fireworks on the Bulb (B) setting and experimented with different exposure times while manually holding the shutter down...Don't forget to stabilize your camera on a tripod !

And speaking of stability. . .

- Use a cable release
With a cable release and your camera on a tripod, you will not only be able to see what you're trying to capture better, but you will decrease the chances of moving your camera & getting a blurry shot by eliminating the need to touch the shutter.

- Watch the fuse
It's not as exciting as watching the end result but it certainly is climactic !
Instead of being surprised & rushed to get the shot, watching the pyro technicians preparing to set the firework off will give you the advantage of knowing exactly when and where in the sky the firework will be.

- Hold your camera vertically
Since the trail of a firework is usually upward and not very wide, compositionally you'd be better off with a vertical shot. However, if you're lucky enough to witness an elaborate show with multiple bursts at once, you'd be better off with a horizontal format in order to get as many fireworks in your shot at once.

- Auto Focus
Unless you're having a lot of trouble with very distant fireworks or a very dark sky, auto focus is generally your best bet.