Possibly underutilized -- the main interesting thing that's available is various sorts of metal powder. There are two main things I'm thinking about: actual fireworks suppliers, and a number of specialty suppliers that sell chemicals used to make fireworks (selling such chemicals is apparently totally legal!)
Available:
Barium salts, also colorants -- not totally sure, but I know barium shows up in a lot of syntheses on Rhodium.
Copper salts, including copper choride and copper acetate.
Magnesium powder and turnings - yes, really! Can probably be used to make sodium or even potassium if you're lucky.
Activated charcoal
Aluminum-magnesium powder and aluminium powder
Potassium dichromate -- oxidises alcohols to aldehydes selectively, IIRC.
Cryolite -- that is, sodium hexafluoroaluminate, a source of fluoride
Iron powder
Sulfur powder
Titanium powder
Boric acid and sodium borate
Boron powder
Lead oxide
Lithium chloride
Methylene chloride
Certain phthalates, though terephthalate (useless) seems more popular.
Hexachloroethane -- considering the horror show called CCl4 I wouldn't want to be in the same room as the stuff, but it's worth mentioning.
Lead thiocyanate -- used in the conversion of acids to nitriles via the reaction RCOOZn + PbSCN --> RCN + ZnS + PbS + CO2.
Manganese dioxide
Potassium iodide and permanganate -- there are quite likely safer and less suspicious sources of these two chemicals, frankly.
Sulfamic acid -- apparently, but I can't imagine it wouldn't raise suspicion, so...
Zirconium, as powder and wool.
Oxalic acid, benzoic acid, hexamine -- all available elsewhere, sold in bulk for pyrotechnics.
Sodium nitrite
platinum anodes for electrolysis
Available:
Barium salts, also colorants -- not totally sure, but I know barium shows up in a lot of syntheses on Rhodium.
Copper salts, including copper choride and copper acetate.
Magnesium powder and turnings - yes, really! Can probably be used to make sodium or even potassium if you're lucky.
Activated charcoal
Aluminum-magnesium powder and aluminium powder
Potassium dichromate -- oxidises alcohols to aldehydes selectively, IIRC.
Cryolite -- that is, sodium hexafluoroaluminate, a source of fluoride
Iron powder
Sulfur powder
Titanium powder
Boric acid and sodium borate
Boron powder
Lead oxide
Lithium chloride
Methylene chloride
Certain phthalates, though terephthalate (useless) seems more popular.
Hexachloroethane -- considering the horror show called CCl4 I wouldn't want to be in the same room as the stuff, but it's worth mentioning.
Lead thiocyanate -- used in the conversion of acids to nitriles via the reaction RCOOZn + PbSCN --> RCN + ZnS + PbS + CO2.
Manganese dioxide
Potassium iodide and permanganate -- there are quite likely safer and less suspicious sources of these two chemicals, frankly.
Sulfamic acid -- apparently, but I can't imagine it wouldn't raise suspicion, so...
Zirconium, as powder and wool.
Oxalic acid, benzoic acid, hexamine -- all available elsewhere, sold in bulk for pyrotechnics.
Sodium nitrite
platinum anodes for electrolysis
Members have been arrested as a result of these investigations, even though the paper trail was made as difficult to follow as possible 
One needs a special license to make fireworks in many jurisdictions, and inspection of one's facilities is often required 
Caution and planning are mandatory, silence is golden 