http://www.treehugger.com/renewable-energy/hydrogen-powered-toy-rocket.html
For reference.
I didn't see anyone mention hearing protection. It's important for this.
A little hydrogen goes a long way in terms of accidentally destroying things. A beakerful might go foom, but an erlenmeyer might shatter. We had a guy doing demos with balloons when I was in school. A standard party balloon full of hydrogen explodes with enough force to really feel it all over from ~100ft away, if memory serves. That h2 o2 mix is remarkably louder still.
Hydrogen also burns with an invisible flame, so if you have a leak, and it catches, you might not realize it before something bad happens.
Oxygen Hazard, people are quite right that pure oxy makes fires worse incredibly rapidly, and starts them where you might not expect, but isn't toxic. HOWEVER. Industrial oxygen (what you get if you buy a tank meant for welding rather than breathing) can have a terrible mix of random industrial nastiness in it. It burns fine, so no one cares, but breathe enough and it can be very unpleasant. (My lungs hurt for a couple days.) That's why medical oxygen is sold differently and costs more.
I don't know what scale rocket you were thinking of, but solid propellants are better once you get past soda bottles as pressure vessels. At which point, let me say you need to read a lot from people who are doing exactly that, since they have the experience. Also, start small. A pencil sized bit of rocket candy will probably only cost you some fingers if you err badly. My other point of caution to the eager acolyte is nozzles matter more than you think, and not just for thrust. Rockets have a lot of energy, and solid fuels give you no way to control the release of that energy but reaction rate. You don't get valves or gauges, you get to light it and run. Reaction rate increases with pressure and heat. The reaction creates pressure and heat. The chamber and nozzle determine whether it burns like a candle, roars like a rocket engine (the one you want), or runs away and explodes. That balance is delicate. I watched something that was just burning like a candle, but it slowly started to build pressure. It burned like a citronella candle for like 5 minutes. The time between darn, its just a fire and whoops that exploded was a few seconds. As a closing note, the internal geometry of the fuel and chamber also change the reaction rate significantly, a lot of people add holes of various sizes to increase the surface area, but keep in mind that the geometry changes as the fuel burns away. So, be super careful because it's really hard to predict and failure means explosions, I guess is what I'm saying.
