Hehe, I agree with global..
The initial takeoff when the afterburn kicks in is a tad slow. Doesn't look like much of a Zzooom!
The start seems a bit slow to get into and it looks like the rocket is just sitting in mid air. not falling, or moving or anything. Some vertical Motionblur would be nice, to give it a nice falling feel.
The thing on top, which forms the cone-nose... can that start out underneath, and stick out from below or inside and come out of a hole? having it on top doesnt quite suit it, makes it look out of place.
The afterburn... I have never seen any explosive device start out black and then go light. Until now that is. It seriously is off there. Swap the colours over and have a nice fade from the golden yellow (perhaps make a tad more orangey, just a tad) have it go to an orangey-red and then fade off to a smokey black, brown colour. I would reccomend the Explode Daemon if you know how to use it. If not, what you have there is fine IF... you tone down the density and have it fade to 0 through particle age. Your rocket exhaust DEFINATELY should get bigger as it dies off. I would also give it a Linear or Cubic Falloff if you haven't already, to blend the edges a bit so it doesn't look like lots of solid particles, but one steady stream and also if you have clamp on... take it off for this exercise.
And read my tutorial in the max section of these forums.
I also suggest some variation to the movement of the rocket after takeoff... not just in a straight line. it will then add some variance to the trail, and give it a more pleasant experience.