I have never blown a lighter up, but I found the following:
Snopes.com has an article that debunked a spark from welding causing one to blow up, but then goes on to say that they do indeed blow up from heat, and have blown up in peoples pockets.
http://www.snopes.com/horrors/techno/lighters.aspMythBusters did a segment where they couldn't make one explode.
Canada customs agents confiscate certain lighters they say explode:
http://www.cbc.ca/news/story/2000/11/06/lighters001106.html