As I mentioned earlier, if you can create effects on set or in the camera, you want to do so whenever possible. With that said, most practical effects aren't going to be as spectacular as you would like them to be in your finished film. As such, let's look at a couple of post solutions that you'll be likely to turn to.
First, is the the wild world of particle generators, as these can be a big way to augment the bang for your buck. Trapcode's Particular is a plugin for After Effects that generates amazing particle effects like explosions and fireballs. Wondertouch's particleIllusion is a standalone effects package that generates particles similar to Particular, but it also has a lot of options for explosions, detonations, blood splatters, and chaotic backgrounds. It can be useful to augment a deadly bomb blast, as well as to create a stylistic credit sequence at the beginning of your film. FXHome's VisionLab Studio is also a standalone effects package that's designed to allow you to create realistic particle effects and explosions, but, in addition, it's designed to let you create genre specific things like blasters and light sabers. It's got a lot of additional toys under the hood like lens flare generators and a powerful color grading engine, as well.
Once you've augmented your explosions, you'll likely want to add small touches to your shots. This is where we get to video painting. While there are a variety of different video painting solutions, probably the most readily accessible one for the low-budget filmmaker is Photoshop CS4 Extended, which is packaged with nearly all of Adobe's combo packs, such as Production Premium CS4. (This was actually rolled out with CS3, so that version will work, as well.) Photoshop Extended allows you to import video files and then paint additional things on a frame-by-frame basis. This is extremely useful if you need to add a blood splatter from a bullet that ripped through your hero's shoulder or a blurry piece of shrapnel.
Few things take the viewer out of a scene as quickly as fast motion. Why? Because it is absolutely unnatural to the way people view the word and, as such, it feels completely artificial. It's the antithesis to slo-mo, which humans really do perceive when their lives are in danger. Additionally, it fails to allow the viewer to enjoy the scene, because things are happening so frenetically that they just can't see what's going on. Big budget movies that screwed this one up were: Blade 2 and The Transporter 3. (Transporter 3 had a gorgeous car chase scene that they literally fast forwarded through until you wanted to scream!)
If you have any of the new Panasonic HD or Sony HDV cameras, you can shoot between 60 fps to 120 fps. (In a short period of time, folks will begin to own the RED Scarlet, which is capable of shooting between 120 fps to 150 fps.) While most of the Sony models can only shoot burst modes of 10 seconds or less at this heightened frame rate, realize that most cuts in an action sequence will be far less than 10 seconds, even at full speed. Slo-mo is the way the human mind deals with danger, by speeding up the brain so people have a greater chance to survive. As such, it seems natural to the audience, even though it is a rare and exotic element in real life. Slo-mo also allows your audience to pay attention to your choreography and effects in an action scene or gun battle. Movies that do this really well are: John Woo's Face/Off, Michael Bay's Bad Boys, and the Wachowski brother's The Matrix. If you don't have a variable frame rate camera like the HVX200 or the RED Scarlet, you can still get pretty good slo-mo using an after market plugin called Twixtor. It's a bit pricey but it does an amazing good job of extrapolating frames that weren't there to get pretty clean slo-motion effects.
