Has anyone ever read about or experimented with exploding projectiles ?

I once read a story about from a chap from central Europe who had designed a projectile that is hollow containing black powder & coloured magnesium (to give a colourful puff I suppose) with a primer seated in the front of it.

I realise that this is the principle on which most artillery ordnance is designed. However I am interested to hear if anyone had actually tried it in smaller calibres & survived.