For the most part, unless it was a comedy, you could never show a head exploding from a gun shot or brain matter coming out directly into the camera, but a popular techneque is when you see it come out on a wall or something like that

examples
Pulp Fiction, Marvin getting shot in the face
natural born killers
die hard

Blade

No discussion of exploding heads can be considered valid without a bow to SCANNERS. That's one mean explosion!

Scanners Owns 'em all!

Others:

Wild at Heart
Dawn of the Dead
Early John Woo movies
The Fury
Brain Damage (Havent seen the movie, put I saw pics of heads coming apart in Fangoria)
The Story of Ricky-0
Deadly Friend (read above)
Shogun Assassin aka Baby Cart at River Styx (Sword splitting a head in two)
Wanted-Dead or Alive (Gernade in the mouth)
Bad Taste (I think)

Have to think of more..

The Incredible Melting Man
The Story of Ricky
Shiri

Maniac... unforgetable shotgun blast to the face at close range.
Toxic Avenger... classic head crushing by screeching tire.

The Beyond
Full Metal Jacket
Predator
Missing in Action (can't remember which ones)

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Two films I thought about when I read the thread title.

Bad Taste has a funny scene with someone (Peter Jackson) trying to put brain matter back into his head.

And Dawn of the Dead still has my favorite gunshot to the head. I almost spit up my drink and wet my pants simultaneously during that scene when I first saw the film years ago (ok, I'm exaggerating, but the effect was brilliant )

The Fisher King surprisingly has a pretty gruesome shot like this.

Nearly every Troma film

The Frighteners
Goodfellas
Saving Private Ryan

a true classic!

The Fly 2 has a pretty good head being crushed in an elevator shaft scene.

Im still trying to recall the head explosion scene in Die Hard. Any one want to help me out?

I think he's refering to the president of the company get his face shot off by Hans, early in the movie. Didn't the glass door get most of the splatter?

The Running Man has a nice little head explosion when that stupid guy thinks he's safe passing thru the defense perimeter.

Sexy Beast
From Dusk 'Till Dawn ( Tarantino shooting cop in the head )
The Forsaken ( Vampire's head blown off by shotgun )

Two more

Battle Royal – exploding collars

License to Kill - drug dealer in a decompression chamber. They show his head expand and then the requisite quick splatter of blood.

I didn't see these listed:

Glory
The Patriot

Dead Alive

Big Trouble in Little China - although I don't know if it qualifies for your list.

It's quite lame but... Mars Attack.

Deadlock with Mimi Rogers and Rutger Hauer.

Ya can't forget OUTLAND with Sean Connery.

And Total Recall too!

What about the ending of Pi? It's not really head "exploding" per se but sorta close......