Just wanted to post this, so there's some record/precedent of it, in case anyone else looks it up.
My 2 months old, custom build:
- EVGA GTX 1060 &GB ACX 2.0
- Intel i5 6400 + Coolermaster 212 EVO
- 16GB HperX Ram
- Gigabyte B150m-d3h MB
- EVGA 600W Bronze 80 Plus PSU
- Thermaltake Commander Case
- Samsung 850 EVO 500GB SSD

How it happened: Normal gaming usage for a couple of hours with GPU running at 75°c and CPU running at 28°c. Suddenly PC turns off (coolers, fan, mobo led, these are all off), however the case LED and my RBG keyboard are still on, so I figured my OS froze. I restart the computer and BAM, sparks and fire come out the GPU, I quickly unplug the PSU and the fire goes out within a second. Lots of smoke that smells like some serious welding had just gone on, I leave the room. Back a few moments later when things have ventilated I pull the GPU out and take the picture (attached). After a quick review, I restart the computer again (without the GPU), boots up no problem and proceeds to install on-board intel graphic drivers (sob).
Have already started a ticket in order to request RMA.
 
Edit: Uploaded pic. 

which part is that? give us a wide shot please.

That's the back of the card (assuming the front is where the cooler is), and just about where in the pic below the card is covered by a sticker. (I just pulled this pic off newegg - I'll take another shot tonight when I get home).

If you have not done so already, you should clean up the inside of the case as well.
 
When electronic parts go, they sometimes explode like a "shot gun" and can leave conductive thingies where you don't want them.  Just take your time and be thorough.

Yikes! I just purchased a GTX 1060 SSC a few days ago. 
 
Looking forward to seeing what EVGA has to say about this.
 
Good luck!

What Slot on your Motherboard was This Card Installed?

@ksgnow2010 -  I will look into it, thanks for the tip!!
@Georgia Dawg - To be honest, I wouldn't worry about it if I were you. I googled around some and didn't find any other reports like mine.  I understand that any kind of quality standards accept a tiny degree of failures - I just happened to be THAT unlucky guy who picked up the "1 in X" of defective cards. So I'm not really mad or anything, just very frustrated - I still haven't received a reply to the ticket, but it hasn't even been 1 business day yet.
@bcavnaugh - On the x16 slot. Note that I've run this build for about a month without any trouble before this.

mdezc
@ksgnow2010 -  I will look into it, thanks for the tip!!
@Georgia Dawg - To be honest, I wouldn't worry about it if I were you. I googled around some and didn't find any other reports like mine.  I understand that any kind of quality standards accept a tiny degree of failures - I just happened to be THAT unlucky guy who picked up the "1 in X" of defective cards. So I'm not really mad or anything, just very frustrated - I still haven't received a reply to the ticket, but it hasn't even been 1 business day yet.
@bcavnaugh - On the x16 slot. Note that I've run this build for about a month without any trouble before this.

So you installed the card in the Slot Next to the CPU?
 
What type CPU Cooler do you or did you have installed at the time?

It almost looks more like a short than an Explosion or that it Blew up.

 

Sorry for your loss man, Its always a PITA to RMA a card. Good luck.

@bcavnaugh - I'm at work right now so I can't double check, but off the top of my head, yes that looks like the mother and the slot it was in.
The heatsink is a coolermaster hyper 212 evo, and it was positioned perpendicular to the gpu so the heat was aimed away from it.
There was definitely a metallic popping sound, followed by the flare similar to that of when you light up a firework, followed by smoke and a terribly foul smell. It was definitely not a Hollywood explosion, but I don't think a short describes what happened here.