They are probably mismarked in terms of which lead is positive, assuming you are properly inserting them, or they are the wrong voltage rating for the app, of the circuit has unusually high voltages present (Bad Regulator, PC Board Short, wrong Zener Diode etc).  When reverse voltage or a voltage beyond the rating is encountered, great heat and stinking smoke will be generated, 

    I think there was a company that was making 3 leaded Tantalums, with the center lead always being the positive, so assemblers could avoid messing it up, no matter how hard they tried!  It was more costly, but the yield would be greater, with zero rework thus a great idea, hope it sold well, engineers can sometimes be stuck up, and ignore good ideas, when they come along!

Ron Leckfor
REM Electronics Supply
Warren, Ohio