Hi Dylan,
Our Sun won't explode exactly. But in about 5 billion years our Sun will turn into a red giant. When this happens it will expand out possibly as far as the orbit of the Earth, swallowing up Mercury and Venus.
I wrote a bit about what happens when stars get old in this post here:
http://www.solarweek.org/CS/t/1769.aspx
Although the Sun won't explode. There are smaller explosions occurring often on the Sun, called solar flares. The Sun has a magnetic field and when it gets too twisted this can cause a solar flare. You can think of it like twisted a rubber band. Once it gets really twisted it snaps. During a solar flare a HUGE amount of energy is released. For example, the energy in one Milky Way bar is 260 kcal. The energy released in a solar flare is the equivalent to the energy in roughly 10 billion billion Mars bars!
Hazel