Can-cans are a more advanced application of a throw from under the leg. This video will review how to do the basic under the leg throw as well as show you the Can-can.
To learn more about the history of the traditional Can-can, visit the wikipedia page here.
For information on how to become a Rockette, visit the Radio City Music Hall's audition page here.
Tips/Hints: Using a ball of a different size or color (or both) can be a great way to emphasize the pattern of the same ball going under both legs.
Also, if you really want to get into the spirit of things, get a hold of Oppenheimer's "Infernal Gallop" to play while performing.