Detonation Films:
This is a FANTASTIC site. It has tons of free stock footage including spark hits, muzzle flashes, fire balls and all sorts of shenanigans. But I suggest buying the footage from cafepress to support them and to get the bonus clips! Recently they added HD footage, Bob is a true badass!
Detonation Films HD:
What is better than Detonation Films? Detonation Films in High Definition! If you have the money buy HD footage over SD (like mini DV) footage Do It! The picture quality is far better and the effects are much larger, it is a Win-Win situation!
NoControl Cinema:
His titles include: The Super Stock Pack, Explosions, Gun Effects, Blood Hits, Sparks, Fog and fire. And Marco von Moos of NoControl Cinema is one heck of a filmmaker, check out his stuff!
Video Copilot:
The Action Movie Essentials has 60 effects ready for you to add to your project. While not the most extensive library it is probably the easiest to use.
I personally own from footage both places, you can never have enough diversity in your effects. Now that you own this wonderful stock footage what do you do with it? Compositing!