Our sun is a star, and all stars eventually explode when they die. Stars run off of the hydrogen fuel they have inside of them, and once it runs out, they get really big, really fast and then explode. After they explode, they shrink into tiny little things called white dwarves (white dwarfs) . This happens all the time in space, but luckily ours won’t explode for 7 billions years.

The sun won't so much explode as it will puff off its outer layers. This is because the hot part of the sun that is undergoing nuclear reactions will expand as a sphere through the sun as first the hydrogen and then the helium are used up, forming a core of dense, unburnable elements. The hot core closer to the surface will cause the outer layers to expand outward, until eventually the sun's gravity isn't enough to hold them down.