Yep, Guppy got it right, rubber bands. There's quite a few vids on youtube showing this.
Personally, my favorite way of exploding fruit is to dump a ton of electricity into it. The water inside boils immediately and expansion does the rest. The thicker the skin of the fruit the bigger the explosion. You don't need quite as much electricity as these guys, plugging an orange into a British 220v outlet is sufficient, not sure if it works with the American 110v system... it should do, give it a go.
<WARNING!>If you do this indoors you can blow out the windows, and your ears, with nothing more than a Jaffa if you don't give the expanding gases another route of escape.