The Combustion Institute, an organization of scientists and engineers who study fire, hosts an annual art competition for photographers of fire. You can view the five winning selections, including this one by Nelson Akafuah and Kozo Saito:
[...]this fire whirl was created by igniting benzene, a simple petrochemical, then mirroring and rotating the resultant image to produce a distinctive "S" shape.
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The other compound is Mercury(II) thiocyanate (Hg(SCN)2) AKA "Pharoah's Serpent" It used to be used in fireworks because of its black-snake effect. However, it isn't readily available anymore because it is toxic.