Explosion release a lot of energy, in the form of heat. It heats up the surrounding air and particles so fast that it create a higher pressure. High pressure air move to low pressure region, away from explosion.

Air is very thin, and because of that it is highly compressible. In large explosion, it compress faster and it can expand, that built up pressure later expand rapidly. And because it is very thin, it can travel very far. This is what we call shockwave.

Explosion in water is less dramatic, cause water is heavy (difficult to compress).