Sure. I will not suggest that it happens "all the time", but I have had a couple of big, honking (5,000uf @ 80V) coupling caps go off like Roman candles, leaving no other marks and giving no warning. These things had little rubber plugs on top - and the only visible evidence after the show was that the plug was missing. Made in Scotland, as it happens.

Peter Wieck
Melrose Park, PA