What does it sound like? POP? Bam? Kaboom?
Where's the kaboom? There was supposed to be an earth-shattering kaboom...
Depends on the type and size of the cap. If you install an electrolytic backwards by mistake, it's usually a *PPFFFFTT!!!!!* SSSSSsssssssssssfff sound as they vent. Yeah, I'll admit it, I've done it once or twice.
Too much voltage on an electrolytic causes it to explode violently, with a loud POP! I did that once when repairing something - I used a 16 volt cap where a 160v cap was needed. The schematic was printed wrong and the original cap was missing.
Tantalum capacitors, when they fail, fail shorted. If they're on some rail with enough current, they can explode violently with a loud bang/pop. Or, if there was something further back in the circuit, you'll get a nice sizzle.. crackle... and a lot of smoke as a resistor burns. Sometimes tantalums will burn - had one fail on a hard disk and burned a hole in the board the size of a dime.
I've seen semiconductors explode too. One of the guys at a previous job plugged a PC into a 220v server rack. That was an impressive bang, blew the chopper transistors in the power supply completely apart.
Of course, if you want to see some capacitors explode, you could simply solder them onto a power cable and plug 'em into the wall. Electrolytics don't like AC. A power cord with alligator clips, and the junk capacitors from fixing monitors might be an acceptable substitute for fire crackers...
-Ian