Many (if not most) of the Muppet FX you see in old sketches were not actual explosions, but fire extinguishers or air cannons. That's still the easiest and safest way to create explosion effects.
As Stacey said, some stuff for fire/explosive effect (like flash paper and small flash pots) are available in Magic shops and usually sold in the "fire magic" category, but they can be very dangerous. It's really best to not to attempt real explosions unless you've taken the courses to get a Powerman's license (what SFX technicians have) or have professional experience because someone can get seriously hurt if there's an accident (I've seen it happen).
Also, the rules and regulations around certain chemicals and explosive materials (even small ones) are a lot tighter now than they were in Don Sahlin's day so it's harder to buy stuff to rig small explosions, squibs, etc. in many places unfortunately.