Firecrackers are illegal in NH too, also M-80's and bottle rockets ... the aerial stuff is the only thing legal in NH (I think they call them Class 3 fireworks). Fun can still be had though, lots of good aerial stuff like mortars, roman candles, tubes, and the whistle-bangs (some places call them M-80 launchers, cause that's essentially what they are).
I usually buy a trunkload every Summer and head up to Maine ... My Dad has a place up near Ellsworth on a lake, no local cops, nobody gives a crap as long as you aren't setting stuff off while people are trying to sleep. Been doing this almost every summer for the last 10 years and have never taken shit from anyone.
ETA: I don't think the stores in NH card you for fireworks ... even if you had an out of state license, you can just say "We're going up to Laconia for the weekend" or something ... Used to buy works all the time when I was in college (and had a Mass license), stop in NH, go to Maine.
AETA: Fireworks legality is determined by Town government in NH which is kind of stupid ... You can buy them in one town, drive 5 minutes and be breaking the law ... Like most things, depending on how discrete you are with it you can still have fun ... My town has a ban on fireworks, but we set them off my back porch all summer long, and on the 4th you can look out over the town and see neighbors trying to one-up each other with what they've got.