A couple of cases in which this has happened is back in 2004, a whale carcass being transported in a truck exploded. In 2005 there were also numerous reports of certain frogs exploding in Germany.
The explosion is a result of a buildup of methane gas that accumulates as the body decomposes. Whales aren’t the only animal known to explode. There have been reports of ants, frogs, dogs, and even humans blowing up after death!
Perhaps the most famous case of a dead animal exploding was a sperm whale that washed on shore in Oregon back in 1970. The whale exploded, covering onlookers in debris and even destroying the roof of a nearby car! However this explosion wasn't natural. The whale had died and authorities thought they'd get rid of it with dynamite.