Let me start by saying that I'm not encouraging you to buy fireworks in Indiana and take them across the river to Kentucky—that, my friends, is illegal, and I don't want to hear you complain when your truckload of fireworks is confiscated. What I am saying, though, is that sparklers aren't as much fun when you're an adult, but they're pretty much the most exciting fireworks you can buy in Kentucky because of the stringent fireworks laws on that side of the river.
What I'm really doing is telling you a story about a—um—friend whose grandparents used to spend thousands of dollars on fireworks in Indiana every Fourth of July and drive them right across the bridge. That friend's grandparents had the best Fourth of July parties. Of course, they lived in a somewhat rural area, so I think that probably helped. Had they set those fireworks off in, say, Germantown, it might have been more likely that they would have been caught with their illegally-purchased and smuggled fireworks.
So, just to clarify one final time, the Indiana fireworks stores in the list at the bottom of this post just happen to be close to Louisville—that doesn't mean that I think you Louisvillians should patronize them. After all, the city does set off a pretty awesome fireworks show over the Ohio every Fourth of July.
Best Indiana Fireworks Stores (in no significant order):
Phantom Fireworks (Clarksville)
Powder Keg Fireworks (Jeffersonville)
Shelton Fireworks (Clarksville)
Fireworks Factory Outlet (Jeffersonville)
Fireworks Factory Outlet (New Albany)
Powder Keg Firework 3 (New Albany)
Casabella's (Corydon and Georgetown)
Boo and Booms (Corydon)