We all know that the current particle (dynamic) system does not cast shadows. So if we wanna make a realistic looking explosion we need to use something that does cast them. I made something with dupliverts and a particle effect. So the dupliverts are the particles.
Here is the blend-file . It’s about 1 megabyte (use blender 2.40).
Here is the image, it’s actually an animation, but it takes very long to render (frame 21).