Smoke from fireworks should not get into the frame and its something you should avoid as much as possible by locating yourself in a suitable postion with respect to the direction of wind blowing. I'll talk about it in the second part of this post.
Also note that all type of fireworks don’t yield same good pictures. More on that later.
I assume you know some basic stuff of fireworks photography. If not, just any internet based tutorial will guide you to know the basics of camera, tripod, aperture, shutter, speed etc. requirements for fireworks photography.
Tripod and accessories:
Typically ISO should be set to 100-200 range and aperture 8-16. As fireworks are specular highlights, you control the amount of light by aperture/ISO only. If you want to properly expose buildings at a distance or city skyline etc. in the background, you might open up the aperture to 5.6 to 4.0 even. Use the method described in the second link above to check for proper exposure. Properly exposed fireworks streak should retain their color at their centers too.
I generally shoot RAW plus best quality JPEG. Unless you have memory card size limitation it is always preferred to shoot in RAW, which can be better edited in Photoshop or other photo editing software later on.
I strongly recommend zoom lenses for shooting photographs. Typically I’ve used Nikon 14-24, Nikon 28-80, Nikon 70-200, Nikon 28-300 and Nikon 70-300 lenses. I guess two lenses, a wide angle zoom and short to medium telephoto zoom will cover most of your need.
The Nikon 14-24 is of exceptional quality and highly recommendable provided you want a very wide angle view of the event. If you want to carry just one lens, I’ll recommend the Nikon 28-300. If you’re a bit far from the display or want to shoot the fireworks very closely use a telephoto in the 200-300 mm range.
I don’t use any filters except for the clear UV ones. I earlier tried color enhancer filters like redhancer but without much success.
This is an interesting accessory at least for digital SLR cameras. I first read about the usage of it for
shooting fireworks in some web tutorial, used it and really liked it. When you press the shutter while taking a long exposure, the viewfinder goes dark for a few seconds. Auxiliary viewfinders can be mounted on camera flash hot shoe and can provide a clear view of the scene when the viewfinder goes dark. Thus, you can then see if more fireworks shot meanwhile, their possible types and trails and decide how long you’ll keep your shutter open to capture these bursts to follow. Such a better ‘situational awareness’ while looking through the aux. viewfinder generally help in getting better composed shots.
In part 2 of this series I'll talk about the compositions. Meanwhile here's a nice site on different types of fireworks.