To date, there has not been a single astronaut or cosmonaut killed by an exploding rocket
but we have 14 dead astronauts killed in space shuttles. Coventional rockets like the Saturn V (perfect launch record) and the Soyuz featured launch escape systems. The Saturn never needed to use its launch escape system but the Soyuz was able to successfully abort twice, saving both crews (very unlike the Challenger). To date, the Shuttle has averaged a dead crew for every 66 missions. That's a pretty poor safety record.