Catastrophic engine failures happen more easily at high rpm and under heavy load. Engine bearings can become starved for oil under these conditions and that can lead to bearing failure. The heat builds up so quickly that the big end of the connecting rod can become fused to the crank causing the rod to bend like a pretzel. If things are still zippin' right along when that happens, the rod can be forced through the side of the engine block - really! This is often accompanied by a very loud and unpleasant noise, and the oil spray and vapors on hot exhaust parts provide an exciting visual display. Taken together, the engine can be said to have "blown up."
BTW, for those of us with plastic manifolds, if the little diaphragm in the fuel pressure regulator fails gasoline can be sucked into the plastic manifold. Occasionally, when the mixture is correct and a spark is provided, the intake manifold can explode. Literally- boom!