Thermite is a combination of three things: a fuel, powdered metal and metal oxide. These three ingredients can vary with different metals and fuels, but regardless of the specific parts of the mixture, when it's exposed to heat, a reaction occurs known as an exothermic reduction oxidation, or redox reaction. Sparks will fly and it becomes quite hot, but it's not actually an an explosive. Unless you add ice, then it gets pretty loud.
Myth busters decided to test a video that showed a bucket of thermite on top of several pounds of ice that, when heated, resulted in an explosion. In their experiment, the reaction was the same, an explosion occurred, so the myth was confirmed, but no one seems to know exactly why something that normally does not explode when heated, suddenly explodes when in contact with ice. Speculation is that the exothermic reaction releases a huge amount of energy so fast that the ice becomes superheated and turns into vapor. This vapor condenses around the fine thermite particles forming a steam-thermite aerosol.The thermite mixture continues to react and the result is a steam explosion. Another theory is that hydrogen is released when the ice melts and vaporizes and that causes the explosion. Either way, don't try this at home.