Yes, there are faulty gel candles that can flame or flare up, like the ones recalled last year from Nature's Finest Candles. But in the 23 recalls that the U.S. Consumer Product Safety Commission has recalled, only 2 were for gel candles. And, while Snopes, the internet urban legend experts, actually give gel candle exloding a "true" rating...if you actually just read the article, they don't say that the gel itself is a hazard, it's mostly the containers that gel is often poured into. The gel gets hot, and expands, and indeed can cause the container to shatter or "explode". But, that's the case for ANY candle container - wax or gel. Snopes gives an example of a ceramic coffee mug. "Leave a coffee mug sitting on a hot burner long enough, and you'll see the same thing." Guide to Urban Legends at About.com has also chimed in on the subject. Lots and lots of misinformation out there, huh.
Basically, they are all just saying to be careful with ALL kinds of candles. Don't leave them unattended! Keep them away from children and pets and combustible items. The stuff we all know, but need to be reminded of every now and then.