No pyro of any kind allowed in our theatre, for the lightening strikes I used lighting effects. At the end when Fester flies we built a rocket that Pugsley pulled down some streamer type things out of a water bottle attached to Fester's back, he ran off stage and we had a tiny fester on a string...
We just did Addams and that effect goes by so incredibly fast, especially because it's in the song. Our Pugsley barely had time to push the plunger. I have often used liquid CO2 for explosion effects though.