I would say: not explosive. I've seen a decent number of setups, and I can think of three areas where you could be concerned with safety (not necessarily where you should be):

1. Most use propane burners (the exact thing you'd use for homebrewing which is already legal and safe, and also similar to what some large turkey fryers use) which can be risky, but some are electric (120v or 240v).

2. Stills are an open system insofar as there is a way for pressure to escape - if you're goofing things up, you might vaporize and not recondense your ethanol (eg, because you have the heat way too high and/or aren't doing a good job of cooling down the vapors), and it's possible for that vapor to start on fire. I've seen it happen, and it's certainly a spectacle but wasn't particularly dangerous.

3. The distillate itself (ie, ethanol) is usually pretty potent, especially the foreshots and heads. Let's say 70%+. Especially as it's coming out, it's still prone to evaporation, and you could have a combustible/explosive risk here, but I've never seen this to be an actual problem.