I used to shoot regular loads of shotshell powder/wad/primer simply without the shot load and they did make a satisfying bang. You're right about the danger of the wad, I pointed the muzzle at the lawn and blew a good sized chunk of sod out of it with the blast and wad.

If you use BP or a BP sub for the purpose of more smoke, just make sure you really clean out the barrel after shooting. Not only will you get heavy fouling, but the fouling will also attract moisture and cause the barrel to rust.