In my experience, the lamps never explode when they're out of the unit. It's always when they're in use. A couple years ago, we had a rash of defective lamps in our older NEC MT1020 projectors that would pop at about half their expected life.
On more than one occasion, I would be called to a conference room and walk in to find smoke curling out of the projector and somewhat stunned looks on the faces of the people in the meeting. They reported the projector making the sound of a gunshot.
I found an old exploded lamp yesterday:
There used to be a bulb in the center of the reflector...
Most lamps now days have a heavy glass cover over them to keep the flying chunks from damaging the optics of the projectors. These catastrophic lamp failures in the MT1020's damaged the glass in several of the projectors when they blew.
On a side note, be glad you don't have to replace the lamps in these monsters:
$3500 for the lamp/housing assembly, $2500 to re-lamp the housing... What a bargain!