An astronaut in deep space is too far from his ship, and his air is running out. To prevent his shipmates from trying to rescue him and dooming themselves before they reach the Red Planet, he opens up his spacesuit helmet. He instantly freezes!
Yeah, well, in reality, not so much. Human bodies store a lot of heat, and in the vacuum of space the only way to dump that heat is to let it radiate away (on Earth, cold air could conduct the heat away more rapidly, but we're in space here). That would take hours.
The real problem with space exposure is the air rushing out of every orifice of your body, causing massive tissue damage and giving you anoxia. So you wouldn't freeze; you'd suffocate. And you certainly wouldn't explode: Humans aren't balloons.
Still, no matter what, you're dead. Best to keep that spacesuit helmet closed.