It also depends on your stage character. My mentalism stage show is unmistakenly about "the power of the mind," but in its current incarnation, the show does not include the exploding lightbulb. The reason for excluding it is not the problem of flying glass (which I've solved without the need for a bag) or the relative strength of the effect (I agree, though, that it might not be a good closer). Rather, the reason is, quite simply, that my character is not telekinetic or parakinetic; I don't purport to have cultivated that ability. I have other abilities -- a very specific, limited set of abilities.
That's one of the ways in which, IMHO, magician-thinking can ruin a mentalism act. Magicians tend to do a lot of different effects in their shows, and by "effect" I don't mean "trick"; I mean the items on those lists of 8 or so core effects in magic (I think Fitzkee has one): appearances, disappearances, multiplications, transformations, levitations, restorations, etc. The audience more or less accepts (and perhaps expects) that all of those effects belong together because they are all magic and all magicians can do them. Ever notice how, when someone asks you if you "do that trick with X that Y did on tv", they get disappointed, perhaps even a bit haughty, if you say that you don't or can't?
With mentalism, though, being able to manifest/demonstrate 8 distinctly different psychic effects in a single show can actually undercut your credibility. Most "real" psychics tend to manifest a single ability, perhaps two... rarely three or more. Psychics that purports to have a large set of different abilities tend to eventually get exposed as frauds.
Being asked to do a trick and saying, "Sorry... I don't have my cards on me" sounds lame and can undercut the perception of you as a "magician." Being asked to bend a key and saying, "Sorry... I'm not telekinetic" sounds credible and can lead to a discussion/demonstration of the skills you do possess.
It's to your advantage as a mentalist to clearly define the specific set of abilities your character possesses and why he/she possess them. It will anchor you as a performer and help you develop a more solid, credible performance. For example, if you purport to have cultivated the ability to connect with people on a psychological, emotional, and perhaps even a parapsychological level through years of observance of human behavior, study of relevant literature, and constantly putting yourself in positions in which you can practice empathizing with, conversing with, and reading people, it makes no sense for you to turn around and make a lightbulb explode, no matter how cool it looks.
I enjoyed reading that.