Thermite is a very cool – well, hot – reaction that consists of metal powder and a metal oxide (most often aluminium and iron oxide); the latter more commonly known as rust.
The characteristics of thermite reactions are not so much explosive; rather it’s their ability to heat very small areas to incredibly high temperatures where they excel. You don’t think of metals as burning very easily, but in the right conditions – and very high ignition temperatures – they can.
Aluminium and iron oxide are heated, often with magnesium ribbon as a fuse, and oxygen from the iron oxide breaks its bond to combine with the aluminium to form aluminium oxide and iron. Special face masks with UV protection must be worn when welding due to the intense radiation.