Physics behind component failure
Most failures are ohmic, meaning materials heat up and degrade, and melt. This can be caused by overvoltage or overcurrent depending on the component. 

In my experience, part failure occurs most when the voltage is too high and it leads to breakdown and heating. Most of the time it's heat that kills a part, which is why when powering circuits on for the first time, if there is a problem with the design, and if you can switch on the circuit and turn it off before the parts heat beyond their ratings, the circuit can be saved. (I usually power on and off for 1 second and look at it with a heat camera)

Under extreme circumstances with arcing, other interesting things like wielding can occur with ESD where the arc creates a plasma and etches materials away. (look for esd damage pics, it's surprising).  

When things explode it is usually from the materials in the components being vaporized creating a gas which in turn causes a mechanical failure/explosion. The gas can be created by a very fast temperature rise or arc. In the case of capacitors, the dielectric can create gasses. 

I once had a relay explode on me (early on in my career, stupidity on my part, I ignored a rating) and the case hit me right between the eyes, a little to the left or the right and it could have been bad.