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In order to get a "pop", there must be enough oxygen present to oxidize (burn) the hydrogen very rapidly. If there is not enough oxygen for an explosion, the hydrogen will just burn with a flame. You may have seen pictures of the hydrogen gas-filled German zeppelin Hindenburg that caught fire while landing in New Jersey in 1937. The films of this disaster clearly show that the hydrogen gas burned fiercely, but did not explode in the usual sense of the word. However, this event led to the replacement of hydrogen by safe, non-combustible helium in subsequent dirigibles.
Now back to your question. What you may have experienced when you heard a "pop" was the reaction of hydrogen with oxygen such as produced after the electrolysis of water. During electrolysis, electricity is used to break down (dissociate) water molecules into their constituent atoms, which, as noted above, are two atoms of hydrogen and one of oxygen. At this ratio, called a stoichiometric amount, hydrogen will indeed produce a "pop". If a larger quantity of this ratio of the gases is ignited, a real explosion could occur with damaging effects.
Thus, the hydrogen does form a new compound: water. The hydrogen atom is still a hydrogen atom, that doesn't change. But what changes is its transformation from a hydrogen molecule into a water molecule by the process of oxidation. Furthermore, it is not annihilated. Annihilation is a physics term used for the process whereby matter and antimatter interact in which both disappear by conversion to energy. Thus, annihilation is a much more energetic reaction than the burning of hydrogen.
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