Sethbling released a video a few weeks ago about Explosive Projectiles. You can watch it here:

Note that you need the new snapshot!
There was only one problem: the environment explodes as well. Furthermore, it lags. Here is a small trick to keep your world undamaged and to reduce your lag:
We take arrows as example...

Step 1: Make a redstone clock connected to this command block:

Step 2: Set difficulty to Easy or higher and type this in the command block: /summon Creeper ~ ~10 ~ {ignited:1,Fuse:3}

Step 3: Connect these command blocks to the clock, place them like this. Type in the right one: /testfor @e[type=Arrow] {inGround:1b} and in the left one: /tp @e[type=Creeper,r=20] @e[type=Arrow]. Place another command black after the left one saying: /kill @e[type=Arrow]. (Not on the pic)

Step 4: Do /gamerule mobGriefing false to prevent creepers from exploding everything to bits

May you need Command explanation, ask in the comments.

I hope I helped you guys! Subscribe for more Architecture and Redstone! :D