Here are three videos of some particle systems running in Unity. They're all very efficient and surprisingly lightweight; all three scenes should be able to run fine even on mobile devices as they are.
In this first scene, I painted a texture sheet with three little three-frame animations for the fire and sparks, the smoke uses two two-frame animation. I included the awkward daytime lighting at 1:00 in the video to show everything behaving correctly in different lighting conditions (with the wrong sort of particle blending, everything would look fine at night and look terrible during the day). I made the lighting cookie by rearranging and applying a few filters to the fire particle textures, and used a Unity animation clip to control the position, intensity, and range.
For the second scene, I've used four particle emitters to create a cloud system. The first two set the initial position, speed, and direction of the clouds (the first pre-warms the system, the second loops after the initial burst). Both trigger the third, which inherits the initial velocity and controls the number of particles per cloud, the cloud's shape, and its size (this is the "pop" effect; I made it visible here at 0:45, but the final particles can be faded in just as easily). The fourth emitter sets the lifetime and inherits the initial velocity.
I wrote a helper script that can change the speed and calculate the correct lifetime in one step, and then synchronize the directional light's cloud shadow cookie. It calculates the length of the cookie (as effected by the light's angle) and adjusts the position to keep it from moving infinitely in one direction, which would cause floating point distance/position errors (in the video from 0:15 - 0:45, the cube is parented to the directional light and you can see it jumping around without effecting the shadows).
For this last scene, I applied a spotlight cookie to a directional light to create an ambient spotlight effect without the performance cost of a non-directional light and added a Unity animation clip to control the light's intensity and colour (at 0:30 in the video, I disabled the ambient light and the terrain's diffuse texture to make the lighting effect more visible). The heart and star shaped fireworks were made using the same particle systems as the basic fireworks, but with a mesh emitter that has vertex normals adjusted to point outwards.