It is rare, but I have seen some pretty bad power supply melt-downs (although never an explosion), sparks...yes, a very loud pop...yes, and even a small fire that quickly dies after burning some plastic. Capacitors sometimes die a violent death, but desktop power supplies are much less likely to cause a house fire than, say, an overheated laptop ac pack or a defective laptop battery, both of which have many cases of igniting other items and burning a building to the ground.
As suggested, it would be wise to...
1) Turn it off by a power strip, when not in use
2) Examine it closely by removal, then try to determine if you have a stiff fan (may cause noise) and look for char marks, burn spots, swollen capacitors, or course, remember not to touch anything that will may cause a shock even while unpluged.