True, space is virtually empty and there's no oxygen, but that doesn't prevent an explosion. The sun's doing it all the time, because it contains the necessary ingredients and doesn't rely on the external environment. Likewise, if you have the necessary elements in a rocket, a fiery explosion into space is possible. The movie effects are often very poor, with items appearing to burn just as they would in Earth's atmosphere - sometimes flames are even shown going 'up'! But the special effects are sometimes quite convincing, with allowance made for zero gravity, and a rapid dissipation of material and energy into the vacuum.

As Amaranth said, a shockwave from the explosion,in the form of an expanding volume of gas and other particles, could occur.

"Time is what prevents everything from happening at once" - John Wheeler