The sun can't suddenly disappear (at least not according to GR). The differential form of the conservation of energy and momentum is built into General Relativity, therefore the equations have no solution in which the sun disappears.
You can, however, generate gravity waves by blowing up the sun asymmetrically, or better yet, by imploding the sun to form a black hole. The first gravity waves from the implosion or explosion event would reach the Earth at the speed of light.
Implosion would generate a much stronger gravity wave signal than explosion, BTW. (The implosion generates gravity waves only because the sun is rotating).
An explosion must not be spherically symmetrical if it is to generate gravity waves.
If you just planted a big bomb at the center of the sun and blew it up in a spherically symmetrical manner, there would not be any gravity waves or other gravitational effects on the Earth's orbit until the debris actually reached the Earth's orbit.
Try also reading the sci.physics.faq
http://math.ucr.edu/home/baez/physics/Relativity/GR/grav_speed.html
There have also been past discussions on this topic on PF.