I recently made 2 steam cannons, one with a friend, and one on my own, and since they work well, I thought I'd post instructions here on how to make one.
The first things you'll need are 2 lengths of 15MM Copper Piping.
You also need 2 spanners, something to heat the cannon with, and a pipe stopper, and a valve (one with a handle for opening/closing).

Now, the actual guide:
Get your first piece of copper pipe, and attach the pipe stopper to one end, and the valve to the other. Connect a second copper pipe to the end of the valve.

Very simple, and to set it off,
Pour water into the unclosed copper pipe and close the valve. Heat up the closed off tube (now things get dangerous, use some safety equipment), and after a while, release the valve. A load of steam will come flying out. You can put a bit of a potato in the copper pipe to send it flying.

DISCLAIMER: I take no responsibility for any accidents caused by this. Do it at your own risk.

When I think steam cannons, I think chicken cannon from mythbusters
Why did you decide to use copper for your cannons? I would think it's all good, as long as it doesn't explode ...

From memory, a my friends made crude version of something like this from a long plastic tube (like those used in down pipes for houses). Put a stopper at one end, and a small hole at the bottom from memory. Spray some flammable aerosol into the tube, then insert an object about the same diameter as the tube so that it has a nice snug fit. I think oranges were the ammo of choice. Through the small hole, light the aerosol, and watch the orange fly. Needless to say my friends weren't all that intelligent, and lighting aerosol like that is quite dangerous.

I personally like the confederate rocket experiments done by the mythbusters, a very impressive/scary display of what can be rigged up in a backyard. I particularily liked the ultra explosive wool that they had, and the the fact that they ran some of their rockets off Salami (I think) !!!