Although amonium nitrate/fuel oil explosive (ANFO) is allegedly relatively easy to make, getting it to detonate without a proper detonator is a real devil of a task. Indeed, trying to buy such a detonator without a proper permit is likely to get you a visit from some very unpleasant people in cheap suits. Thus, the efficient, reasonable thing for a jihadi to do is not to import bulky explosives, but to smuggle in small, concelable detonators for ANFO and similar substances. It's remarkable how the authorities have not yet identified either the explosive used by the Muzzie Brothers or the detonators that were used.
I heard one witness reported the smell of gunpowder, and that black powder was the suspected propellant.
Then again, the Monday night news mentioned that Bomber #2 had a “large pyrotechnic” in his college dorm room. Anybody could spin up to N.H. and buy fireworks, then strip out the propellants and bursting charges.