The best PSU explosions come when the NTC thermistor dies. That component goes up like a firecracker, a big pop and then a long, prolonged sparking death. I've never seen it happen in person, but I've seen pictures of the aftermath--a 2" circular burn on the PCB and a bunch of toasted components around it. You can't control when an NTC thermistor goes off though, it's entirely random. It only goes off when exposed to unfiltered AC current with no transient filter, so it only happens on ultra-cheap-os. But the thermistor may last a week or it may last ten years. It's a random failure.
You can cause a PSU to fail explosively by shorting the legs of the primary transistors while the PSU is under load, but this is a SEVERE electrocution risk and I highly recommend against it. Besides, it's damn difficult to do on most PSUs since the primary cap and APFC coil are in the way.
I did recently come up with a creative way to make a PSU into a fireball--but it's too dangerous to post on the internet. I may try it some day though.