I use HDPE and fiberglass. Myself and my friends have exploded plenty of each as testing platforms to find out what really happens when they go. Usually an upside down 6" color or an upside down salute of any size will do the trick.
HDPE that we have in the US, bulges and shreads into long, thin strips and strings of plastic. It will fling HDPE shreds everywhere, but these are NOT shards (not hard, harmful material). The only thing to worry about IMO when HDPE explodes is the flying wood plug, or pieces of the flying rack if it was once part of a racked battery and the actual stars from the exploded shell.
Fiberglass usually blows into dust and strings. Sometimes when a glass gun goes, it can fling chunks of the tube (like 3 or 4 inch chunks) but so far I have not seen chunks flung with any violence. Usually they are within 10 feet or so of the gun and don't appear to be flying at missile speed. I've never been hit by one, so I can't tell you how much damage they are capable of.
Personally, I prefer fiberglass. They are lighter, there is no worry about knocking the plug out, the rim dosn't stretch or shrink, some are sealed from ground moisture (some leak) and they seem just as strong as HDPE.