High speed photography is a bucketload of fun. I tend to prefer the destructive side of high-speed imaging or as one can say to describe it politely: photographing materials failure. There is definitely not much in the way of artistry involved. The lighting is basic. The techniques are complex and it will give you a headache in more ways than you can possibly imagine.
Before anything else, let me plug my two books on High Speed Photography. This is the first edition which is still available and should get you started. This is the second edition which expands on the first edition and corrects a few minor details that I wasn't that keen on. The 3rd edition (if there is a 3rd edition) will eliminate the reference to a website that I no longer operate, listed on the back cover.
The basics are you need a flash that will dial down to 1/128th power or whatever the lowest power you can achieve. I've used a Canon 580EX2 for these photos dialled down to 1/128th power or around 1/20,000th of a second illumination. The briefer the illumination the better. These days I would recommend NOT getting a genuine Canon flash but rather one of the cheaper Chinese clones or even an old Vivitar 283 as they're a tenth of the price and do exactly the same thing.
This is my favorite photo - a pellet from my air pistol has just entered the glass and exited the other side. What you're seeing is the shock wave of its passing through the colored water. One flash used to illuminate this and a sheet of black paper behind.
This looks more dramatic than it actually is. A lightweight airgun pellet captured as it was stopped by the middle crayon. It didn't have enough power to break the third.
Turning the table. Instead of smashing things up with an airgun pellet, I shot the pellet at a razor blade and photographed the pellet as it was cut in two. Interestingly the pellets at this range even had time to tumble given the number I saw that were not cut neatly in half lengthwise. That surprised me greatly.
So, having shown you a few photos of high-speed imaging (all of which are in the books), what equipment do you need? These were all shot with a Canon XT, a Canon 580EX2, a Canon 18-55 (non IS) lens with a cheap ebay skylight filter to protect it from fragments. I used black paper, some wood, paint and an air pistol. The air pistol was mounted in a little stand I made for it. The photos were all taken after dark in a semi-dark garage. A tripod and a light stand were used as well as an audio trigger. This picked up the sound of the gun firing and fired the flash. It had a delay unit built in that allowed me to dial in a delay so the pellet had time to travel before the flash fired.
Read all about it in the books. I suggest this book as being the best for you.