The CRB defines the "explode" property as:
"Explosives have the explode special property, which lists the amount of damage the explosion deals and the damage type (if any), special effects (with a duration, if necessary), and the radius of the explosion. When you attack with this type of weapon or ammunition, aim at a grid intersection. Each creature within the blast radius takes the listed damage but can attempt a Reflex saving throw for half damage. If you score a critical hit, it applies only to the creature closest to the targeted intersection (you choose the creature if several are equally close). If the explode special property has any special effects other than damage, they are negated with a successful saving throw."
So as an example I see the entry for Incendiary Grenade I as:
"Explode (1d6 F, burning 1d4, 5 ft.)"
While burn is often a crit effect from a weapon, here it is a special effect. In this case, toss the grenade; any creature within the 5' blast radius takes 1d6 fire damage but can attempt a reflex save for half damage. Any creature that fails its reflex save *also* suffers burning 1d4. If you crit, you roll twice the initial damage (1d6, now 2d6) against the creature closest to the targeted intersection.