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We made di-nitrotoluene in one of our lessons (no idea why, for curriculum reasons I think) and our teacher mentioned that it's a precursor to trinitrotoluene (TNT), but that the third NO2 was very difficult to get on.
He didn't mind us trying until he saw one of my mates furiously boiling the hell out of a tube of the stuff with about five bunsen burners aimed at it... no idea if there was any danger of us making it with that process, but a halt was called to proceedings
My chemistry teacher showed us how to make (although I'm not convinced it was) mustard gas.