That's right, glycerin can be rendered from any fat. Something like 30% of the nitroglycerin used in World War II came from recycled cooking fat, as you mentioned. Red meat fat works the best, a la Fight Club. Boil the fat, skim off the top layer, and let it cool. Nitroglycerin is, however, quite dangerous to make at home. If the procedure for making it becomes even a few degrees too hot, it blows up, throwing fuming acids everywhere in the process. Don't make nitroglycerin at home, ever.
You may also want to look into history. During WWII, cooking fat was recycled for making explosives. I think glycerin was harvested from it somehow.
Grapevine charcoal is almost never used in grills, because it burns way too fast. Pine burns fast too, but not fast enough for gunpowder. Hardwoods like mesquite are often used in grills. I've done extensive trials with black powder formulas, since we hunt with muzzle-loader black powder rifles at home. I've found willow and grapevine to be some of the fastest burning local charcoals. Generally speaking, the softer the wood, the faster the burn.
You /can/ produce charcoal by interrupting the combustion process. Get a good bed of coals going, and douse it with water. The problem is, the charcoal is now wet, and may not be charcoal in the center (just unburned wood).
Generally, mammal excrement is used to obtain nitrates. Cow dung and bat dung are two of the best choices. But you'll need to put them in a large vat and let it sit and ferment for some time, which aside from taking a while, gets really disgusting. Think cesspool.
As far as I know, tars and rosins aren't very useful for making things that burn /quickly,/ however, they do have use in making things that burn for a long time. It is believed that "Greek fire" used pine pitch as one of its ingredients.
I've heard of the iron rust powder you mentioned, but the formula I've seen requires table sugar too. It's referred to as "red-and-white powder," and offered as a possible propellant for reloading small-caliber pistol cartridges in emergency situations. I'd seen the formula in a military technical manual, for producing weapons intended for emergency survival if you were stranded in enemy territory with no other means of escape. Generally, if it's in that manual, it's been tested by the Army to work...but the safety of preparation is questionable, since it's last-resort kind of stuff.
If you do make anything you've read about (which I'm advising against), do make sure to check the sources and try to find accounts of it being used elsewhere. Whatever you do, don't do anything listed in publications like "The Anarchist's Cookbook," or "Poor Man's James Bond." A lot of that stuff will get you killed very quickly. Do it outside, and in /very/ small quantity. Make sure to protect your face, and wear non-flammable clothing. You can really mess yourself up experimenting with /any/ chemicals, especially those which you're actively trying to use to make something go boom.