If you Google for "water rockets" you'll find more information than you
want. Essentially, a 2-liter bottle makes a rocket on it's own. Put 1
liter of water in it, then pressurize the air to ~100psi, turn it
upside down, release the pressure, and it's gone. They hit 100mph in
about 6 feet, then become tumbling projectiles, good for around 100
feet of altitude.

So then you start modifying them. Nose ballast, fins, timed parachute
releases, then, of course, splicing. You cut the bottom off of one
bottle (leaving some of the inward curvature) and the top off of
another. Spread some PL premium around the bottomless bottle, and
insert it into the topless one, with about 1" of overlap. You now have
a much larger rocket. Repeat as necessary.

I once made a 4-bottle rocket (3 feet long) that went about 500 feet
without fins, and just a weight on the nose.

You can also make 2-stage rockets (booster and sustainer). These are
really fun. One guy in Dallas hit 1000 feet with a big booster topped
with a sustainer made from a flourescent light cover (clear, plastic,
$2 at the Borg).

Lots of fun. It's been a while though. As my son gets older (he's 2
now) I imagine he and I together can convince SWMBO that this is a good
way to spend some time...

-Mike