This one is good for those just learning After Effects (you know who you are), who might follow Todd's sage advice: "the best place to start is at the beginning." If you're at the beginning, try these then some of these and maybe these; then see Andrew Kramer's explosion compositing demo and his explosion tutorials).
Advice is not too different for those wanting to learn faking fire, gun fire, muzzle flashes, and so forth; see Fire in After Effects, Realistic Muzzle Flare Tutorial and Muzzle flash tutorials in After Effects.
Detonation Films in Steve Holmes has several tutorials on integrating fire and smoke into environments in his . Todd Kopriva summarizes these in a kind of course outline in . Also, Mark Christiansen's book explores best practices of common creative VFX tasks, including those involving light, environment matching, heat, and explosions. One of the chapters is free on the Peachpit Press website: . See especially his advice on modes and luma mattes.Note: There are a number of stock footage resources that have footage. Video Copilot has a stock/training DVD (see the ), and Forging Fire posted about free stock footage from
Update: see also Mind-Blowing Movie Explosions Explained from Reactions and
a Tuts+ course on the topic, Smoke, Fire and Explosions in Adobe After Effects with Christopher Kenworthy.