Light painting is an awesome technique that can be created in a variety of ways. Perhaps the easiest is using LEDs or fireworks, but for some of the more advanced techniques, steel wool is a great choice. Steel wool grade 0 and finer (00, 000) are flammable. You can attach a pad to a wire or string and spin it around and create a shower of sparks. Here is the trick, it only showers sparks when you spin or move it so some kind of spin works best. The air gets in it and fuels it so the faster you swing the more sparks you get.
You can create all sorts of cool designs and effects with steel wool light painting long exposure photographs. Check out these awesome examples!