The last way is the best way to do it.

http://www.metacafe.com/watch/106412/dry_ice/


I use a cheaper method?
In Order....
Umm aluminum foil(fill to about 1/12 of the bottle...until it hits the rim thing or a bit before...)
Water, just a tad(roughly 25-50 mL?)
And Toilet Cleaner..I use a powder kind, but any should work that say "do not use with aluminum drainage systems" or something along those lines....use about a couple of tsps, or a tad less.

And Boom!
The toilet cleaner is what STARTS the reaction, you have 10-20 seconds until detonation, sometimes 5 after you close the cap tightly.
Coke bottles are good, or any other THICK bottle that the cap won't blow off of.

 

Don't do that stupid ****, me and some friends got a hold of some dry ice once last year and put it in a Coke bottle and it blew up in one of my friends hands. He has scars all over his hands now.

 

That sucks man....but it can be prevented if:
1- If pressure gets too high too quick, throw, or open cap.
2- Do NOT SHAKE the bottle too long...just give it one or 2 quick shakes then throw. It will land on the ground, and seconds later, explode.