1. Only some explosions can be blocked: for example, creeper explosions and TNT set by other players is blockable, but TNT ignited by redstone cannot be blocked.

2. The "direction" of the damage is treated as coming from wherever the source entity is now, not where the attack was fired from. This is most (and only?) visible with TNT explosions: if Player A sets TNT and Player B is between A and the TNT, B can only block the explosion by turning his back on the TNT and facing towards A! And a player cannot block TNT he himself set, since the source is the player himself and so has no "direction" relative to that player to be tested.

3. Shields suffer from a sort of gimbal lock: if a player faces straight down, the shield doesn't block any direction. Straight up seems to work ok in my testing, probably due to rounding error of some sort making the facing-vector still have a slight horizontal component.