The ones that Grant Clark did for the newsletter (I think it was him at least) are great, probably best to try and make do with those so that your dealing with the same format all the time, there is a good selection. I just wish he'd made them alpha transparent rather than ghosted - you can easily make an alpha transparent image into a ghostable image, but going the other way is quite a pain
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These files tend to be made with explosion generator programs, which are never free and decent at the same time. For me this stuff is always begged, borrowed, or stolen - so the newsletter demo was like a little diamond mine for me
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Someone did also make a little tutorial on how to make a good explosion image, that's worth checking out if your needing something more specific.
