
hellacious huni |

I think fluff-wise there might be a pop, a snap, or even, dare I say, a crackle. Maybe an effluvia, a miasma - what-have-you.
Crunch-wise, rules-wise, there is nothing that happens when a magical item breaks except when noted in the entry (i.e. Staff of the Magi).
I had a DM once try to explode every tiny magical item if it received even minimal damage; 5d6 magic force damage blowing arms off left and right.
No one was amused.

Jemalas |

I had tried it tonight. Due to party balance (magus, bard, alchemist, barbarian, and rogue/ranger), the gm had been upping the CRs against us, as touch AC doesn't go up like normal AC. He allowed me a modest amount of damage and to have some of the damage transfer. In specific, we were level 7 and were ambushed by a purple worm CR12.

Gwaihir Scout |

Broken wands use twice as many charges as intact wands. That's it, as far as I know. A broken magic item releasing all its charges at once is specifically a property of a Staff of Power or a Staff of the Magi.
It sounds fun, but I personally would never allow my players to get a nuke from a level 2 wand.