If you really like this subject, this purports to be a Top Ten countdown of exploding heads, although many of the movies are low-budget 80's flicks I never heard of. It does end with the all time greatest head explosion, though - the one from Scanners, which is posted separately below:
The Scanners head explosion:
And even though it's not strictly an explosion, my favorite has to be the Nazi face-melting from Indiana Jones: Raiders of the Lost Ark:
Here's how to do the face-melting yourself, with a budget of $35: