I've 'lost' a couple of Antec Smartpowers, a Hiper 580w, and a bargain-basement 'Allied' unit. One smartpower went bang as soon as power was connected to it for the first time, the other failed after a year or so of use, filling the room with the smell of burning capacitor. The Hiper failed randomly when the system it resided in was switched off. In all three cases, no harm caused to the rest of the components. The Allied, on the other hand, went with a bang and flash and killed every other component in the system, down to the CD drive!
Think that shows the worth of a decent quality unit with over-voltage protection etc. Even the Smartpowers and Hipers, which have a pretty high failure rate compared to other quality units, seem to - in general - die 'quietly'.