Thanks for all the tips.
Johan: I have decided I want to go with something a bit more random than animation type effect - I am planning on having a range of explosion sizes. Thanks anyhow.
Conan: I've tried a palette based blur effect like typically used in fire effects - still have to tweak it a bit to get the exact effect I'm after though:
(Don't click near the edges as I don't have clipping on yet, and there's no exit - you will need to reset

)
warmi: Splitting up sprites is a good idea. I was going to have separate "explosion bits" sprites, but will give your idea a go. I had a look at the movie, and the explosion themsleves were pretty ordinary, but the splitting effect really worked well.
Mr X: Thanks for that. If it turns out I can't afford to waste cpu processing realtime explosions I may fall back to that.