In cecil’s article, http://www.straightdope.com/columns/040423.html
he writes “cannonballs hitting ships would have thrown up splinters and dust but no smoke”
I was under the impression that we are dealing with the conservation of momentum here. Basically it isn’t the ball that explodes, but what it hits. The cannonball is so heavy and it is traveling at such high speeds that it carries with it a huge amount of kinetic energy, which the boards absorb all of, instantly, and thus explode. Cannonballs hitting stone walls probably won’t create smoke, but I believe wood is a lot easier to ignite.