Besides holding one between your fingers and detonating it with a battery the most dangerous thing about blasting caps as toys is the shrapnel created when it's aluminum case explodes.
Some good old boy contractors I know were dangling them off the porch and blowing them up one New Year's Eve and one guy got cut just below the eye with a piece of metal from a cap that didn't make it below the porch before they touched it off.
I had an instructor throw one (in the form of a grenade fuse) at me at Combat Engineer school. I was standing under a tree eating something disgusting out of a green tin can. The ground was sandy, so I just put my boot on the thing and continued eating. *pop*. :-)