Sebastian Szyszka has a great write-up on how to photograph fireworks. He covers the delicate balance of ISO and aperture settings along with everything else you need to know. In the end, it seems to be fairly easy to do if you use a tripod and a decent camera.
Read more about Photographing Fireworks
http://blog.makezine.com/archive/2008/07/how_to_photograph_firewor_1.html