Thousands of frames per second? Are there any (consumer) cameras, capable of shooting ~1000 frames per second? 

Googling for high speed cameras I found that GoPro is able to take 120 frames per second and some of Photron or Rapatronic cameras, capable to shot millions of frames per second and costing millions of dollars.

Are the intermediate cameras?
The Casio EX-F1 can shoot upto 1200fps, but the resolution reduces as the frame rate gets higher.  They go on eBay for about £600.

http://www.casio.com/products/archive/Digital_Cameras/High-Speed/EX-F1/

Or the Casio Exilim FH20, for about £300 on Amazon, was used to make this:


                
            

More info on how it was made here:

http://straylight.co.uk/?p=120