There are a lot of ways for things to explode. For things on Earth, there needs to be a sharp difference in the temperature and pressure inside of the exploding thing relative to outside. This difference creates a shockwave - a sonic pulse that expands at the speed of sound (faster than sound in the space that it's moving into, because colder temperatures create slower sound speeds).

Explosions in space are often driven by light, not pressure, however. There needs to be a sudden release of energy that comes out in the form of (incredibly bright) light.

Nuclear explosions on Earth are somewhere in-between: there is a powerful flash that releases much of the energy of the explosion, as well as a shockwave that physically blows things apart. Explosions from meteor impacts are similar.