Sky lanterns definitely cause a big wow factor when you include them in your wedding reception and they are a great cheap wedding idea. They traditionally come from Asia where it is considered good luck to release a lantern, and many Thai's believe they are symbolic of your problems and worries floating away. Have a look at the video to get an idea of how your display could look.
One of the weddings I attended recently released their lanterns at midnight as a great finale to a perfect day.
Traditionally they are made of oiled rice paper but there are a number of companies that manufacture a fire retardant lantern to increase the safety of the display. They work by lighting the fuel or candle which heats up the air inside, when the air is hot it will begin to rise. Some lanterns will go to great heights and they will last about 15 minutes and then start floating down. If they are made of bamboo and paper they will be environmentally friendly.
You could have your guests personalise the lanterns, or get them to write good luck messages on the lanterns, you will be able to see these when they are floating in thesky.
If you are planning on having a lantern display you will need to have a number of people to help light them, or get all of your guests to light one. Make sure you have lots of matches on the day!
Having your lanterns leave at intervals is just as pretty as having them all leave at once, which would be a massive feat of organization!