In Europe line voltage halogens have a reputation for blowing up in a spectacular fashion and are required to have a protective cover.
In areas with a rather low line impedance (i.e. close to a beefy transformer) incandescent bulbs also tend do die with a loud bang but usually don't explode. Sometimes the glass falls off though (probably putty failure). Apparently older high-quality bulbs used to have a fuse inside the "stem" and new ones don't, so if they fail and there's an arc flash between the ends of the broken filament there's a sustained arc at a rather high current, which usually trips the breaker.
