On top of being dangerously cold, it's oxygen, so it helps stuff burn easily. I might have overestimated the dangers of it, I thought I'd read that it can ignite some flammable materials on contact but I was apparently wrong. It seems like it just makes fires a lot easier to start (on account of there being a lot of oxygen in liquid oxygen)
Would it also be explosive just from the pressure difference if it suddenly vaporizes? Though I'm not sure if the thermal mass required to do that would be realistic unless someone dropped it into a pot of water or something like that.