For July 4, MK, Epcot and MGM have special shows.
For the Magic Kingdom - The show is on July 3 and July 4 (yes, the same, full scale July 4 show both nights). This allows you to see Epcot's show on July 4 if you watch the MK show on JUly 3.
MK - The show is typically called - Fantasy in the Sky - However, it's not the old Fantasy in the Sky Show. This show is a completely independent show that features all patriotic music. Unlike Epcot's shows, the fireworks and music are not completely in-synch. The MK show is unique in that while the main show goes on behind the castle, there is a mirror of the show (a show taking place with the exact shells and timing as behind the castle) on the island on the lake just outside the MK. So you can turn both directions and see the show. Also they have perimeter fireworks that go up during parts of the show. They are brief but nice.
The MK finale on July 4 is powerful but is normally pretty short (less than 5 seconds) in many years.
It's a good show but overall, in terms of what most people expect as to what they see, I give it a grade of "B".
Show normally occurrs at 9:00 pm
MGM: This is a very good show and takes place behind the park, behind the "hat" if you are at the entrance.
It's a pretty big show. Not too long, but very nice. Nice music, nice shells, and the finale is actually pretty short as well , but longer than MK's (though by very little). This show takes place at 9:00 as well. Epcot's show takes place at 10:00 but, due to crowds, you may have a hard time getting from MGM at the end of the show (which is generally around 9:20) to epcot in time to see the show from a good spot.
I recommend, if you want to see both MGM and Epcot's shows, to simply watch it from Epcot. If you go to the World Showcase from the park's main entrance, take a left, go to the left side of the store (where the handicap viewing area is), you can see and hear the show (minus the music) at MGM.
You can also look across and see the big show going on over at Disney's WWOF complex. This is the perfect viewing area.
Show grade based on expectations: "B+"
Epcot: They do the normal Illuminations show, followed by a 5-10 minute extra July 4 show. It has patriotic music followed by the beginning of the finale over the American Adventure area (it is July 4 after all) (because of this, if you are AT the America side of the Pavilion you wont get a good view of this. You need to be on the Epcot side (Future World side) of the lagoon so you can look across at it. Then moments after that starts , the entire lagoon goes up in finale. words cannot describe it. The sky is one big ball of fire for what seems to be a long time. It is breath-taking, jaw - dropping unbelievable.
Grade: "A+", and that's not even high enough!
So if you follow my method, you will get to see shows from : MK, MGM, WWOS, and Epcot.