If you looking for an inexpensive bright burner I'd recommend these lasers. You can pop balloons and do some light burning with these.
LZTN - Tiny 532nm 100mW Smallest Green Laser Pointer Key Chain
LZTN - 532nm 150mW Smallest Green Laser Pointer
The next step up would be a blue 445nm laser, it's the best power for your money. My recommendation is that you look around this forum's buy/sell section for a 445nm laser and buy from a member here.
The two main diodes for these lasers are the M140 and the 9mm blue diodes. You can get an M140 build w/ batteries for a around $150 for a weaker 1 watt power, they can get to over 2 watts but will be more expensive. Do note that these lasers take rechargeable lithium ion batteries. The other type is the 9mm build. These lasers tend to be maxed out for power and tend to output 2.5 watts or more but will likely run you a bit over $300 for everything.
If red is your fancy then a member here can build you one that will output .5 to 1 watt but they typically run from $250 to $350.
Or you could participate in this group buy we are having, might be worth your read.
http://laserpointerforums.com/f55/round-2-skylaser-laserbtb-groupbuy-79091-11.html#post1142184
Any laser over a 1 watt you can burn, see the beam and have a good time, but the number one stressor is that whatever laser you buy him, get laser safety glasses to go along with it, we will help you find a good pair. Even a second of direct exposure from one of these lasers can cause serious eye damage, not to scare you though, many of us here have been playing with lasers for years and are fine but that doesn't go for everyone.
So if you have more questions do use the forum search function first, maybe google, and if that doesn't yield answers then come back to us.
Also I wanted to mention, I'll be putting up a 9mm blue build up for sale later today if that's the direction you'd like to go. GL