So what actual physical event would allow us to observe the speed of gravity?

You need to have a changing quadrupole moment in order to see gravitational waves. A spherical explosion would not produce any gravitational waves at all, so exploding is not the answer.

What you would want is to collapse the sun into two half-suns and then have the two half-suns spin around each other very rapidly. Of course, that wouldn’t conserve angular momentum so you would probably have to make two pairs and have them counter-rotate

Colliding stars and merging black holes produce gravitational waves that we have detected. Occasionally we have been able to locate the source and correlate it with electromagnetic emission. By comparing time of arrival of the two signals and knowing the distance to the source - and knowing the composition of the intervening space - we can compare the speed of the gravitational and electromagnetic signals.

The last section of this Wikipedia article describes such an event.