They're illegal here in MA, but they're really commonplace around the 4th anyway. People are heading up to New Hampshire to grab their fireworks and tax-free liquor around the 4th anyway, so they just bring 'em back in droves and set 'em off around the beaches and shit.
Cops only care if you set them off at some ungodly hour, OR, if you are a fucking idiot and cause a crowd of people to dive out of the way in fear of severe burns. Happened at the Rockport 4th of July bonfire a couple years back. Errant pyrotechnics hit some elderly woman in the crowd.