I've never had a component die on me, with only one exception - an Enermax 600W Noisetaker II power supply started making loud buzzing noises about 18 months ago. I don't know if it was dying but I couldn't risk keeping it considering how potentially dangerous a balky psu can be to your other components.
I follow simply rules - I always buy quality power supplies and I always use a battery backup for clean, consistent power.
I have a Corsair 550W at the moment, which replaced the old Enermax. Some might argue it's too weak for my system but I've never been a fan of the "OMG I need 1200W for my single gpu setup" mindset. I have used APC battery backups for the last, I don't know... close to ten years. Before that, I only had typical "Dell" pc's which I didn't really use for gaming beyond simple stuff like Age of Empires. Ever since I got serious about building gaming pc's, I have never and would never run a pc without a battery backup.
And for what it's worth, a buddy of mine had an Antec 500W burn out on him and in the process fried every single component in his case. I'm talking cpu, motherboard, RAM, Video card, hard drives, even the DVD drives. Everything completely fried. And he had a C2D, 9600GT, 4GB's RAM...etc. This was a couple years ago and all that equipment was only about a year old at the time. Lots of $$$...