Well, as an adult I decided to try and see if I could replicate it (funny how some events in our life affect us later on). I grabbed a lamp with a 60W incandescent light bulb(I don't know what wattage ours was or anything about that light bulb), took it outside, turned it on, safety glasses on, allowed about 10 min for it to get hot, and sprayed it with water mist.
It shattered into pieces, but didn't explode like I remember happening as a kid. Maybe the glass is improved or incandescent light bulbs don't run as hot as they did decades ago.