First of all, what do you mean by contact graphics, powerup acquisition, and save game effects?
For explosions I normally use an animated sprite object, although I have used particles in the past.
The difference between them is that particles basically look like a big mayhem of any colors in it's image, however you can put lots of randomness in with them like X, Y, speed, size, grow rate, etc. , while sprites can have a more realistic look to them, but the only random attributes you can put in with them are things like angle and size. However you do it, though, I recommend using the "Additive" blend mode for any plasma or energy based objects.
P.S. FX are one of my favorite things to work with too