I work with projectors a lot, and yes the lamps explode occasionally. Kinna scary and smelly, but usually not a big deal. And from what I can tell, the ones that do explode usually do so rather randomly as long as they're installed correctly, no fingerprints, etc. (At least, I've never detected a pattern to them.)
I always keep a spare lamp right next to my home projector. Lately I've been replacing the lamp right as it starts to show the typical signs - gets noticeably dimmer, the temp report goes up, etc. - so I haven't had any of them explode at home. You just have to keep a keen eye on it. Oh, and I also run my projector's lamp at the lowest brightness, and turn the fan up a notch. That seems to extend the lamp's life as well.
Personally I can't wait until the 1080p LED projectors hit the market. I'd also like to see a short-throw LASER projector come out with a reasonable price. That would be the best!