I just encountered this in an incredibly close arena match Paladin vs Hunter.
I had 1hp and a board of minions. (including 1 leper gnome). In my hand I had 2 hammers of wrath.
The opposing Hunter had 9hp and a trap active (that he'd top-decked the turn before)
I obviously played out as best I could; hammering him twice to bring him to 3 HP, hoping to draw something that'd kill him without triggering the trap. Unfortunately this failed, so I was forced to attack with my minions.
I chose to attack with a 3/5, figuring that even if it was an explosive trap, the minion would survive and deal a killing blow to him, forcing a draw game.
However this turned out not to be the case, and I lost - even though I had a 3/3 minion mid-attack animation.
This behaviour seems inconsistent to me; if it had been my hero performing the attack, would he not have finished his attack before dying?
The hero would of died too if you attacked with him. As far as I've noticed every time explosive trap gets activated when a minion is mid attack, the trap will go off then it seems to reset the minion and it's attack animation so it will end up starting the attack all over again.
So basically the trap has priority over the attacking character/minion