you're all almost right
A lightning bolt creates a superheated plasma. When this cools it creates a partial vacuum. The thunder is the sudden collapse of this vacuum by air intruding upon it.
So not an effect of explosion, but rather implosion.
The electrical energy from the lightning is not discharged into sound. It is used in part (large part) to create the plasma through which it is conducted into the earth where it grounds.
As to sound, sound can only exist when there is something to move. Without matter, sound cannot exist. Electricity too is dependent on matter, as it is transmitted by the transfer of charge between drifting electrons (never mind the drawings in highschool physics books where they depict electricity as moving electrons, if that were the true principle you'd have to wait an hour or more for a lamp to start burning when you plug it in, electron drift is measured in centimeters per minute at most).