Why does my bed explode when I try to sleep on it in the Nether, and how do I disable it?

It is intentional, does happen in SMP, and cannot be disabled on a vanilla server as far as I know. On a Bukkit server, the DisableIt plugin can disable any type of explosion, including beds.

In the Nether, there basically is no time of day — bring a watch with you and see what happens. The beds only let you sleep in them when it's night time, and this lack of time apparently confuses them to the point of spontaneous explosion.

Sleeping in the Nether has never worked, but before Beta 1.6 the beds were neither sentient nor quite as explosive; you'd simply get the "you can only sleep at night" message. Of course, this isn't really appropriate for the Nether, since it is never night. Notch likely wanted to make it more obvious to players that beds don't work in the Nether at all. Why explosions? I'm not sure, but it certainly drives the point home, doesn't it? Possibly Evil Notch had a hand in this.

The nether is a place of nightmare. You don't want to sleep there. Your bed exploding is the equivalent of the worst dream you could possibly experience.