I haven't seen any sep funnels explode, but I've seen the stoppers shoot across the room, students break the stem off, pull their stopcock completely out, etc. The one explosion I have seen in the lab though was a distillation apparatus that had ether in it and had been boiled dry. Later, we found glass shards embedded quite far into the tile ceiling.
Also, I forgot to mention this before, but if you want to make sure you can get the stopcock out, use some good old silicon grease. Just a little though. It shows up at 0.07 ppm on H-NMR and is a big annoyance. I would recommend using a towel and gloves to prevent the chance of any liquid possibly leaking out the stopper. I burned my middle and index fingers with some nitric acid once because a slight amount of it got around the stopper.