The Catherine Wheel is a type of firework, so called as it vaguely resembles the piece of torture equipment it is named after. (Though without the rivulets of blood and smashed bones.) Webster also describes it as resembling a Catherine-Wheel Window, another name for the Rose Window found in gothic architecture. Both of these definitions come originally from the description of the matyrdom of St Catherine on the wheel in the 3rd Century.
The Catherine Wheel consists of a series of small rockets (known as gerbs) fixed to a disc. When the firework is lit, these rockets are ignited and the thrust they produce causes the disc to turn. The rockets also produce a shower of sparks and can be made to spray different colours and even make different noises.
The more gerbs attatched to the disc, the longer it will spin for. Also, some Catherine Wheels have the gerbs set up so they spin one way, then reverse direction. The wheels can measure anything from two inches to four foot in diameter, the larger monsters almost being a fireworks display in themselves! They are best placed at the back of the display line and used at the same time as mine or cake fireworks, as they are placed too low to compliment rockets, and are too similar to be used with fountains.
The only real problem with the firework is attatching it. Unlike the rocket, the Catherine Wheel needs to be attatched to some sort of vertical pole like a fence post in order to be able to spin and shower sparks effectively. If it is nailed too firmly, then it won't turn, but if not attatched firmly enough, then it may fall off the fence entirely! My favourite Guy Fawkes Night memory is a of rogue Catherine Wheel that escaped from the tree it was nailed to and chased various onlookers up and down the road before finally running out of steam and screeching to a halt. Various display instructions suggest having another firework ready to go at the same time, in case the Catherine Wheel doesn't behave as expected and you need a diversion.
On a different note, Catherine Wheels is also a song from the Crowded House album, Together Alone.