Most of the coloring chemicals I've worked with are chlorides. A disadvantage with these is that they're not volatile - most will show color when burning in an aerosol mist, but need some kind of wick to show color in a burning pool. Lithium chloride is particularly elusive.
Acetates seem volatile, though - copper acetate burning in a cup will show green, (a deeper, mellower green than copper chloride) with the most curious green sparks. I got a great tequila sunrise color with lithium acetate - likely very sodium-contaminated, as I made it with lithium carbonate and vinegar!
Copper acetate shows up quite nicely on denatured-alcohol-fueled poi, see pix.
The Skylighter Ghost mines article mentions lithium iodide.
I heard a rumor that it's possible to make pink sparks with charcoal (washed and dried to remove the apparently-inevitable sodium) and lithium oxalate.