Yeah, that too, I always wondered whether it was feasible!

I googled the name of the compound and it turns out others have been wondering too:
http://chemistry.about.com/b/2008/03/05/mercury-fulminate-breaking-bad.htm
For anyone who can't be bothered to click through, yes, the thing is really that explosive, yes it can be synthesized in the home (though it's extremely dangerous, and even more dangerous to carry around in your pocket!), the only snag with the way it's used is that all the pics of it I've seen online were in powdered form. I have no idea whether it can be crystallized.
As for how was Walt unfazed by the explosion I guess it's not that huge a problem considering he was expecting it, and we can assume he threw it away from him. And he wouldn't be worried about mercury poisoning as he's already got lung cancer at that point!