The inexpert answer is that configurations are arrangements of bodies, while display states are appearances of faces.
You will need to use Configurations for different exploded states.
To elaborate a little bit on what John said, Display States are for changing appearances, such as colors, and for hiding selected parts. Configurations are for changing dimensions, suppressing selected mates, sketches, paarts, etc., and other things that I'm sure I've forgotten right now. I use Display States when possible since it doesn't increase file size as much as Configurations do, but I do use Configurations frequently.
Configurations are in charge of changes in geometry, including location, (un)suppression of features, components, mates...
Display states take care of changes in the appearance of a model: color, texture, visibility, transparency.
You want to use display states as much as possible (increase speed, reduced file size).
FYI: If you are using SW 2013 you can do multiple explodes in a single configuration.